My horse had a similar problem, although he was itchy all over. While I was feeding him a highly respected supplement, it became obvious that he was allergic to one or more of the ingredients after I switched him to a different supplement. I’ve seen others mention allergies, and that could very well be the issue for your horse.
Another possibility, one I don’t believe has been mentioned yet, might be the bedding being used. This would also fall into the “allergy” category. There are many options on the market and you might try switching to rule out the current bedding as being the culprit of the itching.
Best of luck in finding the solution!