Rick had sex with a lot of things, but I can't recall him ever fucking a horse. The horse semen collector thing led to horse/human hybrids, maybe that's what you remember?
As for the dragon episode, the "orgy" was a soul-binding ritual, that people just associated with sex due to the orgasmic reactions of the participants. But it's not that some of the dragons didn't offer some kinky "bonding" options, though. There was also one episode in which an intergalactic strip bar was shown full of exotic, alien dancers, although there was no sex. Rick and Morty is quite a horny show at times, if people get beyond the cynism and gross-out humor.