Not necessarily too thick (depending on fit of saddle) tho that particular pad is thinly foam-filled. This simply means that it is more likely to conform to finer details than wool, felt or cotton flocked and even those can leave marks. Your mare’s coat is evidently healthy as well, soft, thick and pliable enough to adapt to/absorb the pattern : ). Pad patterns are commonly seen in thicker fuller coats tho not exclusive to. Also, as you ride, the friction/motion of minimally sliding forward and back between saddle pad and horse will disturb fur and draw it into the channels that the stitching allows. Among friction, sweat and the horse’s furnace, the heat will set that pattern into the fur (foam is hottest, imo). Most of the evidence will brush out with a good grooming and def with a hose-off.
You might look into the fit of your saddle, ‘specially if you are seeing this pattern in smaller, specific areas and not uniformly. Look at the underside of the pad specifically. You should see a consistent saddle mark from the panels of your saddle, from front to back, no clean/dry spots. Compression is producing this visual and the more you see an even pattern across her back and from wither to loin, where your saddle would sit, the better off you both are.
As for any health issues, other than saddle fit, fur patterns are comparable to our “bed head”. Hair’s all messed up from sleeping, wake up looking like some kinda goofball clown… shower, brush and all good again, NBD : )
Sure there's right and wrong but mostly there's just a whole lotta different.