Hi there. As title says, I'm wandering if the bounty system is broken, here's the story.

I was near the Reach, traveling with my orc bandit toward Markath and I met a noble riding a horse with an imperial bodyguard. I wanted the horse, so I attacked them, killed the bodyguard and since the noble didn't dismount I talked to him.
He tried to intimidate me saying something like "if you hurt me someone is going to look into this" and obviously I couldn't care less and I killed him too (I'd liked to being able to rob him, you know telling him something like "Give me your money or else..", too bad I could do nothing at all).

At this point someone reported me and I got a bounty of 40g, I looked around and noone was there but me and the noble's horse..so I saved the game, killed the horse and my bounty was off..yeah the culprit was the horse. Maybe I found a unique talking horse! You know, dragons talk, why not a horse? XD
I hope this get fixed with next patch, probably I have to wait for a mod uh?

By the way I reloaded my saved game and later a guard attacked me, the cool part is that someone (probably the horse!) hired a mercenary to kill me! In fact a bounty collector ambushed me! I really loved this (Too bad not being able to rob the noble though).

You must be mistaken, there are no random events of nobles riding a horse with an armored escort. There are however reports coming in of noble horses with armored escorts being ridden by humans.
You must have stumbled upon one of the horse lords of Whiterun! Powerful creatures, they can swallow an apple whole and devour a handful of wheat in an instant! You said you could not threaten the rider? But of course not! The rider is just an optical illusion! A horse can not travel from one place to the next without having a rider sitting on top now can he? It would look ridiculous, especially since the horse lords of Whiterun travel with armored escorts.

What you should have done in that situation was to talk to the horse, the human riding the lord was just a mere puppet. Maybe the horse could have given you the money? It's like when you rob someone (worst example ever, I know), you don't threaten a persons shoes or bag, right? You go right for the moneymaker, the person with the bag! But in this case, the horse!

If you ever stumble upon a horse lord with a noble on top again then go directly to the horse and converse, no need to waste time on the "noble".

Never heard of horse whisperers?