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Would be nice to have some and they could give you a bonus for the pursuit when the enemy's moral breaks. I know that France had very good ones under Napolon's order like Hoch and Mura.
Cavalry does give you a bonus during the shock phase of combat if you have a 2-1 advantage. I sometimes pursue broken armies out of my province. If I have cavalry detachments, I can frequently catch them before they leave my province and wipe them out
And early in the game, when you have large cavalry-armies and enemy doesn't have guns, you can completely wipe out entire enemy units. When guns come, it takes a bit more of the cavalry to do the job....