If a creature has been dealt damage, that damage remains marked on it until the cleanup step. If another Horse you control has been dealt lethal damage, and later in the turn Crested Sunmare leaves the battlefield, that Horse will be destroyed.

Crested Sunmare’s triggered ability won’t trigger unless you’ve gained life in the turn before the end step began. It can’t be satisfied by another triggered ability causing you to gain life during that end step.

Crested Sunmare’s triggered ability cares only whether you gained life in the turn, even if Crested Sunmare wasn’t on the battlefield when that happened. It doesn’t care how much you gained, whether you also lost life, or even whether you lost more life than you gained.