I am a smith and I know the usual processes.
Normal horseshoes are made of iron, not steel. Because of the low iron content they cannot be hardened and so it is useless to quench them. When the iron is cooled down in water, there is no heavy hammering afterwards.
Nevertheless, slag may form on the surface of a heated workpiece which is indeed hard, slightly metallic and dark gray in colour. It comes off in small and thin flakes, is not sticky at all and will definitely not be found on a NAKAGO or in a MEKUGI-ANA.