Spoilers and quotes and references, oh my...
In-universe, the most likely reason is that in his madness Horus saw the pattern ("hidden indians"*) that Shadow also saw in the end. It is not a matter of Horus having more information, but simply of him having the insight given madmen. (Arguably the insight given madmen is merely the gift of ignoring the obvious interpretations!). The fact that he remained outside the armies, and had a third-party viewpoint, would have helped see the truth.
Out-of-universe, there is a literary mechanism by which children, old people, and madmen are considered "Truth Tellers" and will speak the truths that everyone else is blind to.
It's subtly emphasized from the very beginning that Horus is mad:
Horus is crazy, really bugfuck crazy, spends all his time as a hawk,
eats roadkill, what kind of life is that?
Horus, at least, believes that he and Shadow share a similar nature. If Shadow is an analog of Baldur, and one views Horus as sort of an Egyptian golden boy equivalent, then what Horus said to Shadow might be true:
The madman nodded. "Horus," he said. "I am the falcon of the
morning, the hawk of the afternoon. I am the sun. As you are the
sun..."
The text also implies that Horus has been watching the war, unseen, aware of everything but not enmeshed within it:
Then he said, "They will fight soon. I was watching them as they
started to arrive. I was high in the sky, and none of them saw me,
although some of them have keen eyes."
Easter's conversation with Horus also makes clear that he understands the overall situation quite well, even to the degree that he must take up the mantle of some of his power, left behind in his madness, to save Shadow. In this sense, also, the mythological history of Horus makes him the ideal character to place into this role - "When Horus's eye was recovered, he offered it to his father, Osiris, in hopes of restoring his life. Hence, the eye of Horus was often used to symbolize sacrifice, healing, restoration, and protection." (Wikipedia)
"Now," she said, "we warm him. You know what you have to do."
"I know. I cannot."
"If you are not willing to help, then you should not have called me
here."
"But it has been too long."
...
"I know." She reached out a white hand to Horus, and she touched his
black hair. He blinked at her, intently. Then he shimmered, as if in
a heat haze.
The hawk eye that faced her glinted orange, as if a flame had just
been kindled inside it; a flame that had been long extinguished.
So - In-Universe - the god that was excluded all along, but who watched from on high with a keen eye, gleaned the truth. There was enough commonality with his story for him to sympathize, and so to help.
*"hidden Indians" is a metaphor that Whiskey Jack used for understanding something that has been there all along - "The pictures you'd get to color in as kids. 'Can you see the hidden Indians in this picture? There are ten Indians in this picture, can you find them all?'" When Shadow suddenly comprehends Wednesday's plan, he says "I just saw the hidden Indians. Not all of them. But I saw them anyhow.... It's a two man con. It's not a war at all, is it?"
