This is a common myth IMO. Horton had us playing some great football in the first few months of the 1994-95 season for sure - who could forget the 5-2 win at home to Spurs in particular and convincing home wins against Everton and West Ham as well? - but it was only home games where we were performing. Away from home we were getting twatted left, right, and centre. 3-0 defeats at Arsenal, Chelsea, and West Ham, and that 5-0 debacle at Old Trafford. All those defeats came before Christmas and once our unbeaten home record went against Arsenal in December 1994, our home form fell off a cliff too. We went from 6th in the league in early December to the brink of the relegation zone in the space of 3 or 4 months and it was only those back-to-back wins at home to Liverpool on Good Friday and away to eventual champions Blackburn on Easter Monday that kept us up. Those 2 wins were huge and fully deserved but they actually came totally out of the blue and were outliers during a prolonged run of terrible results and performances which had seen us win only 2 of our previous 19 games.
Sacking Horton was the right decision for me as I feel he may well have taken us down the following season. Appointing Alan Ball is a different discussion altogether and it doesn't in any way make Horton's sacking wrong. And let's not forget that Horton hardly set the world alight in any of his subsequent jobs apart - IIRC - from a very brief spell where he had Huddersfield performing well. But it all went pear-shaped in the end and he was sacked just over 2 years into the job with Huddersfield bottom of the table.