Really though, the jojo wiki calls him a coward for giving up on killing him and swearing loyalty to dio for this.
What the hell? The guy literally vanished into thin air faster than he could fire a bullet, do you really think he's just gonna fire in every direction until he hits?
"There's a fine line between bravery and stupidity"
and hol horse certainly manages to keep off the wrong side of that line.

The thing is how is hol horse supposed to know that?
I don't think Dio just sits down his minions for story time about his past.