Thats definitely a toughie
Ebay *does* usually require you to send the item back with tracking even if you open an item not described case and win. Sometimes ebay will offer to pay the return shipping instead if you win the case.... but it doesnt happen that often (it did happen to me earlier this year BTW but my case was a bit different in that my seller was refusing to give me a full refund even if I returned the damaged items). Your seller has offered to refund you in full already if you return the pony so it seems a little harsh to just open a case on them at this point.
You are right that you would be out of pocket sending the pony back recorded though. Cheapest would be second class recorded small parcel at £3.90, or you'd be losing £4.30 for first class recorded so its probably not worth it.
I think in this situation I would try contacting ebay and ask them their advice - it cant hurt to ask , right?
mention that ' you bought an item from----- but when it arrived unfortunately the item is significantly not as described (you could mention what is amiss with the pony here if you wanted as well) , and that you contacted the seller already about the situation. The seller responded that they would refund you if you sent it back, but sending it back would cost you £3.90/£4.30 and you only paid £6.oo for the item so you would be losing quite a bit of money on it- what do they think it is best to do?' - words to that effect.
Then see how they respond, and take it from there.
Let us know how you get on