They have hooves like that because unicorns are, according to myths, described with characteristics differentiating them from "ordinary" horses, such as cloven hooves (like deer or goats), goatbeards or lion tails.
See Wikipedia: en.wikipedia.org/wiki/Unicorn "In European folklore, the unicorn is often depicted as a white horselike or goatlike animal with a long horn and cloven hooves (sometimes a goat's beard). In the Middle Ages and Renaissance, it was commonly described as an extremely wild woodland creature, a symbol of purity and grace, which could only be captured by a virgin. In the encyclopedias its horn was said to have the power to render poisoned water potable and to heal sickness. In medieval and Renaissance times, the horn of the narwhal was sometimes sold as unicorn horn."