You have the "Don't Restrict Companion Race" setting selected, and the race you've selected isn't an animal companion race, so it doesn't follow the normal animal companion mechanisms or progressions. I'm afraid I don't know how that would interact with the type changes I made.
May I recommend that you unselect that setting, select the normal Horse option for animal companions, and then on the classes tab, choose the "Advanced Creature - Animal" template, since the difference between a horse and a heavy horse is that template. The other option if you want to use Heavy Horse as an animal companion is to make a different version of the animal companion race in the editor, incorporating the changes from Horse to Heavy Horse.
(For anyone else reading this, this is referring to a discussion djc664 and I had in an earlier bug reports thread (
http://forums.wolflair.com/showpost.php?p=35937&postcount=31) about whether the Paladin's Heavy Horse companion option is supposed to be the same thing as the druid's horse companion option)