This is definitely something that needs to be taken into account. As MrGray points out, the maps are a since static item(*) created at "design time" and the largest possible is the same size as WhiteStone.
As EndorVaeros states however, maps that are large contain more items and hence take more "power" to render (and longer to load).
In general I would like few (if any) maps that large and some thought should be put into map connections etc to avoid unnecessary loading. WhiteStone is a great example because it's the 2nd map, connected to IP so to go ANYWHERE (without teleport ability) you need to go through WhiteStone! In EL, I seldom go to WS specifically however I cross it all the time, going from IP to VoTD etc. To me, this is just bad design.
Having said all this, if and when the client is "updated" it could support more advanced map loading similar to the map loading support of sandbox games like Grand Theft Auto (and perhaps WoW). They work by unloading the map data of "things" behind you, and loading things in front of you to give the illusion of a large map, the important part being "illusion". The map data that the client is tracking at any given time in these, is probably smaller than WS, thereby being less of a load despite the apparent size.
(*) The maps can actually have dynamic items such as a flower that is only there between certain hours or disappears for an hour after people have harvested 1000 of them etc. This system is somewhat limited however (for example, you cannot set collision information/height map stuff dynamically).
I don't think it makes sense for horses to die upon going into a building
I would think you would either auto-dismount, or have to manually dismount in order to enter. At present, you can mount and dismount the creature that is a horse as well as attack it
I haven't coded any "ownership" type data as yet thus a horse only belongs to you while you're on it. I only spent an hour doing that stuffs just to see how it would work conceptually so horses won't be in from the get go probably (and not in Korrode's beloved Lands of War either no doubt).