It would be more like:
"Tell us a reason why should we not kill you here?"
"I know where Dio's mansion is."

I guess for one thing, he's the only villain that appeared more than once. Most other non-main antagonists in part 3 were just characters that didn't leave much, if at all any impact. Hell, some characters like Forever and Mannish Boy weren't even named until the art books came out. Hol Horse was a presence that continued to follow the heroes even after they found him to be of little threat.

Also, Hol Horse actually is pretty smart. Sure he's a coward, but he's smart enough that he knows having a powerful partner is a big help when your enemy is a such a huge threat.

And one of the biggest reasons is more or less your last sentence. Hol Horse is a cowardly dumbass who will try to take the easy way out in winning, exactly why he chose to make Boingo his partner

In a way, Hol Horse is kinda like Team Rocket: He's a complete idiot, but dammit if he isn't a fun idiot to watch