Having worked in machine shops all of my adult life I can say there is no answer for something as broad a "the steel broke, why? It, steel, has different characteristics depending on what it will get used for. Without knowing for sure what material was used to manufacture this particular horn, and, let's face it these are model airplanes, any reasonable manufacturer would do what they can to make a good product but they are not held to account for procedures of a product that was out sourced. I think most of us know the above already.
Having said that, I can also say that I have worked with several different kinds of tool steel but never had to deal with the procedures for hardening, drawing, tempering or annealing. Most companies I worked for had to keep track of what kind of material was used for what and where. Boeing was very particular and there were different procedures used from shop to shop depending the use of the product. It still interests me so I looked up heat treatment of tool steel.
http://www.speedymetals.com/c-8288-drill-rod.aspxI have used O1, O2, A2 and W1 from time to time. As it comes from the source and normalized it is pretty forgiving. Like Brett said, it is soft and makes little flaky chips when machining. Get it hard and it is brittle and difficult to deal with. It can't be bent without breaking after heat treating.
I started making my own horns quite a while ago, mostly because the available product appeared to be of poor quality, including some of the vendors here. I tried music wire, from the hobby shop. It got hard and brittle and broke easily. I started using welding rod, such as this:
http://www.airgas.com/browse/productDetail.aspx?Category=11&product=RAD64001581 I'm pretty sure that idea came from a Utah modeler. There are some Canadians that have used it also. The good news/bad news about this is that it doesn't get hard but is very strong. If you want hard there is high carbon content rod available like 4130, but again, it becomes brittle and would be a failure waiting to happen, but just like the vendor supplied version may never cause a problem.
I will never say don't use the vendors, just my opinion. Like bellybuttons, we all have them. In any case, I'm sorry to see that happen.