AngC -
Some horses just chew at any/everything. Bet your "Baby" would have a go at anything left in her paddock/pasture/stall if it was left with her and she was bored. Part of it may even be the "freak out" factor of her owners. Some do that.
I've had 1 horse (full size) that had a thing for our cinder block barn. She would stand at the corner, tilt her head and lick/chew just like it was a mineral/salt block. Before we built a separate pen (out of METAL), she did some major damage to both the barn corner and her teeth. She then got her tongue stuck to the metal one winter - licking it. That was a terrible injury to treat (don't remember the details). She was tested - was not found to be deficient in any nutrients. Just the way she was.
I, too, use milk jugs (only the ones w/ the screw on lids), water bottles, 2 ltr soda bottles, and laundry jugs from liquid laundry detergent and fabric softener - for training and for "toys" (none of our current 27 head play with the bottles).
Used to have a shetland/arab gelding that would play with anything you gave him - feed bags were a great thrill of his. He'd wave it around and could get a pretty good snap out of some of them. He'd chase the other ponies and horses - causing them to run and "freak out". However, if you let him have them for too long or didn't watch, he'd shred and eat them, too. He also loved taking the cap(s) off of our daughter's head (only his person - he left everyone else's alone). He'd steal it, run off & circle around & come back either dropping it in a lap or at her feet. As soon as it was back on her head, he'd steal it again and the "game" would begin again. The day she let him keep it was a problem - he shredded it and ate part of it. We worried until it passed thru his system... She was more careful after that and always made sure that she left w/ her cap if she'd been wearing one. He started this as a weanling and kept it up thru the day we sold him (he was also a VERY mouthy colt - every thing had to be tasted & chewed on!) at 6 yrs of age. New owners were told about his many (fun) habits - but still found out the hard way when a bridle was left w/i his reach at a 3 day event. He chewed it up badly and ate part of the leather rein... They found him in his stall carrying the bit in his teeth and waving the destroyed headstall that was still partially attached. He refuses to play with horse style toys - even the ones that hold feed. I spent plenty on toys before we sold him and so have his new owners...
Awww - I love the "new shoe" story!! That's cool. Sounds like he'd have made a match for our "Blizzard". Though I'm really glad we only had one of those "goofs" at a time, 'cuz don't think I could deal w/ more than 1 at any given time.