Sky Captain
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Horizontal landing would require much stronger and heavier structure. Wings also would add significant weight. It would need some jet engines to return back to launch site (more complexity and more weight) Reusable Falcon9 has only minimal modifications compared to expandable version. I bet engineers at SpaceX have done design studies on various recovery modes and arrived to a solution that weight of extra fuel, landing legs, grid fins and other recovery hardware competes well with wings, jet engines, additional mechanical complexity and lot of structural reinforcements horizontal landing would require. And if maximum performance is needed then it is easy to just not fit recovery hardware and launch as expandable.