Yes but in the wild horses also weren't as subject to having fly troubles. Domestic horses have been bred for hundreds of years to be athletic and beautiful. However, not many breeders breed horses the way Mother Nature does. Horses aren't as immune to illness and pests as they used to be.
Many domestic horses are born with sensitive skin, especially those with appaloosa, pinto, and creme coloring. When a horse has pink skin around its eyes it tends to be especially sensitive to insects and the sun. I've taken care of many such horses who were having severe eye problems that were helped greatly with the use of a simple $5 fly mask. Even horses without this sensitivity do better when wearing a fly mask.
However, I have to say that I'm very proud of my own horse. He's an authentic wild Mustang, bred and raised by nature on the feral ranges of Nevada. I've never bothered with fly masks, winter blankets, or fancy grains or supplements for him. He doesn't need them! Just by looking at him you can tell how much hardier he is than just about any other breed of horse you'll find today.