This sounds like a great idea! My show mare drags hay all over the stall. I started using a big haybag that holds 4 flakes. It has 3-4" squares from which to pull the hay. Results? She doesn't walk around her stall chewing and dropping hay, she doesn't put hay in the waterer, she eats it all, has gained weight, and her stall is easier to clean.
In the pasture, the hay net makes sense with round bales! We have a typical hay ring. The horses waste so much. If I can save 1/4 of a bale just by using the net, I will pay for itself no time. Can't wait to order a hay net and try it out!