I can not include page to wordpress function add_filter, the_content

I think the problem is that the PHP include() function will output instead of return data. What you can do is output buffer the include which would look something like:

// Start buffering any output
ob_start();

    // Output the include into the buffer.
    include( 'horo-header.php' );

// Append the buffered output into the $content variable
$content .= ob_get_clean();

Additionally, you may want to look into get_template_part() instead of include. For more information regarding output buffering please review the PHP docs:

https://www.php.net/manual/en/ref.outcontrol.php