Just skimming the rules, it looks like the armor check penalty is only applied when the character is doing a lot of movement, not the horse. For example, the Armor Check Penalty is applied to a character performing a fast mount or dismount, but it's not applied to most Ride checks.
Charging with a lance is covered on page 202 of Conan RPG 2E rules.
I would say that, generally, Armor Check penalties do not apply unless the character is moving. If he's just sitting there on top of the horse, guiding it, riding it, swining and attacking, then the penalty does not apply (the Ride skill is not marked as a skill that uses the Armor Check penalty normally).
Of course, riding a horse comes with its own checks--the Ride check mostly--and different aspects of riding and mounted combat has its own set of penalties.
