I received this too. It was in the loading screen after the villa attack in Sequence 1. Though I thought it said "Ride the Unicorn" cheat unlocked. It all happened quick as I received a trophy and some UPlay achievement all at the same time. I poked around the menus and couldn't find a cheat section at all. Was just curious what it did.
I haven't tried myself, but I believe it would apply to when the dude wants you to catch Mario's horse at the beginning. It already seemed Unicorny to me(lol, Unicorny) --- "Trolls are my specialty, just let me grab my 2 bore and a barrel of red herrings. My fee you ask, no charge. I hunt for vengeance not profit."
cheats are gained as you get 100% in certain missions, when you replay a mission you turn on cheats form the menu, the unicorn one turns horses into unicorns, and gives weapons a lightening aura, don't believe me then try it