But In Harm's Way says, "you can intercept the attack against that ally." To me that means you aren't just somehow "magically" taking the damage for them, your body is actually taking the hit. And Mounted Combat says, "when your mount is hit in combat, you may attempt a Ride check (as an immediate action) to negate the hit."
Also keep in mind that the ride check must be greater than the attack roll to negate the hit, so it is hardly an automatic success.