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How dangerous are they when encountered in the wild?
They are very dangerous in the wild. A male's horn can be used to impale any animal or person that would seems a threat. They are very territorial and protective. A male or mostly a group of males will attack at any time if anyone gets to close to its family or territory.
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Are they very aggressive?
Very aggressive, this fact is why they are prized as warhorses however difficult to catch and cost large sums of money. Some of the larger, more dominant males will attack other males that seems in competition for its position or mate. These unicorns are extremely dangerous and are treated as a person would treat a bear or a wild boar if not worse since they live in groups and can run much faster.
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Would their natural instincts cause them to fight or flee when faced with danger?
It would depend on the unicorn and the danger. A young colt would quickly flee if faced by a dragon or a group of armed men. However a fully grown unicorn would fight a group of men and a group of unicorns would fight a dragon. If I were to generally answer the question it would be fight.
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Once broken, do they show any loyalty or affection for their master
One of the reasons these animals are such prized steeds are their loyalty to their rider. A unicorn will sacrifice its life for its rider and has an unbreakable bond with it. A problem amongst thieves frequently is stealing unicorns because they either escape and return to their master and/or kill the man trying to steal them. A Unicorn will choose its rider it will imprint on and not respond to any other rider, that is part of what makes a unicorn easier to ride.
Hope that answered your questions. Thanks for taking such an interest!
-Aeleknight