My minis do not get fed hay at all. When they got it, I had a comibned 18 colics, 13 of them from the same horse. 7 hospital visits. 1 surgery for impaction. (Results NOT typical.... not to drive anyone away from hay, there was a horse that never had an issue with it, but the one with the chronic colic issue and another with chronic diarrhea whenever the supplier changed was enough for me to not want to feed it. Just happened to be our feed store had really spotty quality. Poisonous weeds were found in a bale my friend bought.)
At our new place, the hay comes from wherever we can find it really, sometimes first cutting, sometimes last year's hay. Just not consistant so I'm not going to take chances on my minis that I already know are really sensitive. I feed it to the big horses though. Right now we have fresh hay from our neighbor who grows it. With as much as they eat, pellets/cubes would cost a lot. My older girl gets half her ration in cubes though, the hay isn't as easy to digest for her.
The minis get half pellets - because I don't have to soak the pellets we get - and half chaff. They inhale the pellets, but then they slow down and kind of graze on the chaff. I didn't want to have them on a 100% pellet diet, for the reason others have stated... their systems need some grazing. Soaked cubes take some time to get through, plenty of horses do just fine on an all cube diet. Since I switched all mine off hay - knocking on wood - I haven't had a single colic from the colicer or off manure from the other horse.
If your horses are doing well on hay, and it's easy to feed, that's great. If you want to do pellets or cubes, because it's easy to store and consistant quality there's really nothing wrong with it. Honestly my older big horse would be on a totally soaked cube diet if it were cheaper. But with the $4 a bale hay from the neighbor, it's hard to pass up!