I'm not familiar with horn as a stem material per se, but I've worked with the material and I use drinking horns on various occasions. Most of the horn material you'll find on the market is cow horn, with some buffalo. Exotics are out there, I'm sure - which would be where customs comes in - but for the most part, anything affordable is going to be perfectly legal. :D
Heat can be an issue (mostly when cutting or sanding), as horn is basically the same material (keratin) that hair and fingernails are made of - and if you've ever burned either of those, you'll know what burning horn smells like. Yecch...
Bacteria can also be an issue, which is one reason that a lot of drinking horns are lined either with beeswax or with a food-grade varnish - keeps anything nasty from growing in cracks deep in the horn. Exteriors are also often polished and/or sealed, just to be on the safe side. I have one horn that I use for myself only that has simply been cured, using a vodka soak - it's one method for getting the horn flavor out of a drinking vessel, but leaving it reasonably safe for hot drinks (which don't play well with beeswax).
Durability is the final issue. I've got horns that I've used for a decade or better, and there are some indications of wear on the oldest one - one external 'bubble' that's flaking off, and that's about it. On the other hand, drinking horns aren't subject to the same kind of wear and tear as a pipe stem... I imagine that the advantages of vulcanite/ebonite are one reason that Ropp is about the only manufacturer I've heard of still doing horn stems.
I've been curious about them, and am seriously considering picking one up (it would be especially fun to have a horn shape with a horn stem... )