At p. 82 under
SPLIT PROFILE it says
1) "Although a cavalry model has two sets of characteristics, one of the rider and one for the mount, it is treated in all respects as a single model..." - looking at the next page under
MONSTROUS CAVALRY it states that
2) "All the cavalry rules apply to monstrous cavalry...".
Not to forget p. 82 it states that
3) "If either the rider or the mount have Frenzy, then the whole model is subject to the Berserk Rage, but only the element with the Frenzy rule gains an Extra Attack.".
In WoC army book p. 110
The Mark of Khorne states:
4) "A model with the Mark of Khorne is subject to Frenzy", and for each option, ex. p 125 for
CHAOS KNIGHTS "The unit may have a Mark of Chaos..." - ie. not the rider, the
unit which must mean both rider and mount - supported further by rule 1), then I cannot make any other conclusion than both the rider and the mount have the Frenzy rule. The Errata on the "Banner of Rage" does nothing more than clarify that the Frenzy provided by this banner also applies to the mount if given to a cavalry unit.
I do not have the new WD yet, but it would make little sense that it would be any different for SC then CK with MoK.
Had it stated that the Mark of Khorne was applied only to the rider (as may or may not be in the case of characters), then rule 3) would come into play - unless it is a Manticore which can affect it's rider with Frenzy.
edit:
Links to both erratas for your convenience
http://www.games-workshop.com/MEDIA_...Chaos_v1.5.pdf
http://www.games-workshop.com/MEDIA_...book_v1.6a.pdf