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Building a foot-character is possible, but it makes things that much more difficult. So being on horseback is not a 'must,' but it's usually what people do for an extra challenge.
On battles where you do want lots of troops still mounted, you could have cavalry go off on their own while you stay with the infantry, but this will mostly be appropriate if you march your whole army close to the enemy (or they to you) so you can still keep an eye on the cav and give them appropriate orders. AI cavalry also don't seem to be that efficient at meleeing infantry either AFAICT (e.g. often riding past but missing fleeing looters) so if you're not personally mounted, there will probably be more enemy survivors.
Mounted melee is pretty tricky. You need to aim the camera quite a bit downwards when attacking footmen, attack in advance (to account for a bit of delay and how fast you're going), and weapon length makes a big difference. e.g. a 100+ length cavalry sword will be easier to hit with than an ~80-length mace, and a 220+ length spear gives you even more reach at the cost of being very awkward close up.
High athletics, higher ranged weapon stats, polearms and lengthy weapons, and light armor. The character turns up very different from your usual preference when you really decide "I'm fighting on foot this time."
It'd be a disaster.
You need to be mobile.
A horse can still be very useful for this - as it gives you a higher vantage point to see what's going on, and lets you move around more easily. On the other hand, being on foot lets you duck into your own lines for cover against arrows or enemy cavalry raids. So it's a tradeoff.