There is a troll valley that the unicorn stays in. There is a quest from one of the gods statues that will have you kill it and bring the horn. If you do not kill it, you can certainly just hop on and ride it away, AFTER you kill the trolls.
If you draw your sword the unicorn attack's you. Try using the Unicorn Sociability mod that makes it not attack you. It is found in Harcane Grove wich is found on this Link.
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