the Urban Legends Reference Pages, addresses this very question.
As the page explains, the theory is that on a statue of a solider on horseback, if the horse is depicted with one hoof off the ground, the soldier was wounded in battle (and may have died later from the wounds); Two raised hooves indicate that the soldier died in battle. If the statue shows all four hooves on the ground, the rider survived all battles unharmed.
As you may have guessed, the site declares this theory to be nothing more than an urban legend, and lists a number of statues that do not conform to the code.
A further search phrase, this time honed down to a sleek "statue hoof," led us to a lively message board discussion on the topic.
One thoughtful and in-depth post offers the following opinion:
The number of the horse's feet taken up from the ground has nothing to do with any attribute of the person depicted and everything to do with the skill of the sculptor and his ability to overcome nearly insurmountable problems in solid geometry, stress of materials, and other aspects of civil engineering...
A post on another message board states that the statue code is only true of Civil War statues found at Gettysburg. But, following a link in another post, we visited the web site of the U.S. Army Military History Institute. There, a park historian from Gettysburg National Military Park asserted, "Any relationship between the number of raised hooves on a horse-and-rider statue and the rider's actual experience in battle is merely a coincidence..."