Well, as I'm in the middle of one horror spam campaign and gearing up for another maybe nobody should come up with counters?
Oh well. The most effective thing that has been used *against* me is to have a single cheapish mage with a couple bodyguards scripted to something appropriate sprinkled all around. The cost effectiveness of this varies a lot with the nation you're playing, but horrors have no elemental immunity, and even fall to poison so there's quite a few low level spells which will deal enough damage to stop them considering your mage will generally have several turns to blast them from short range. Even something silly like bonds of fire will hold them still for a round, chopping their defense and keeping them from life draining for long enough that the PD can whittle them down.
As to keeping them from eating your SCs...well, I've never seen anybody else do this so I don't know if anybody's come up with a counter yet (nobody's successfully countered me yet). Nothing obvious comes to mind other than keeping a significant number of bodyguards around...which rather defeats the purpose of a SC.