Hmm, I'm not sure if this is against eBay's policies or not. Did they clearly state this in the item description, or is this something you had to discover on your own?
I think, if handled properly by the seller, there is no problem in doing this. That is to say, if the one lot sells, then the seller needs to immediately remove/cancel the other listing for the individually listed Chief (and any other ponies listed individually that were also included in the larger lot). You know, whichever sells first, end the other listings so no one will try to buy them. I think it can potentially set the seller up for problems if the seller doesn't immediately remove or revise the listings according to whichever item(s) sells first.
As a seller, I have done this before with various Transformers and other action figures, as well as some of the Funko blind box mystery mini figures. However, they were all listed in the "Buy It Now" format, rather than an auction. I see nothing wrong with it if you are very clear in your listing details, and if you will end/cancel the other listings immediately when one listing sells. Then, you can revise the photos and description (and the price!) of the lot of toys/figures/ponies to reflect any changes if one of the individually listed items sold first. However, if you do not end the listing and revise it before reposting, then I think you have a big problem as a seller.
For instance, I did CLEARLY state that in the item description, something along the lines of "this lot includes all figures as shown. The (insert name here) figure is also listed individually in my store, and whichever listing sells first, the other listing/item will be cancelled."
Curious to see if either lot sells, and especially curious to see what the seller would do if the bald Chief listing sold first (would he/she revise the larger lot listing)? Either way, I agree with you -- way too pricey for the ponies in the lot/condition they are currently.
Hope this helps a bit. Also curious to see if anyone knows the actual "policy" on this, or if anyone else has had any experience/problems with selling items individually that are also included in another "lot" listing.