I would think leaving the head for Woltz would be a much more personal message and have a far greater effect on his emotions than 'something else'. Besides being proud of his 'endowement' and having a vast financial investment in the horse, it was pretty clear that Woltz also had a genuine affection for Khartoum. Especially in the movie.

Placing his male parts in the bed would simply be gross and not quite as devastating to Woltz. Yes, Woltz was 'sex driven', and yes, his vendetta against Johnny was due to his having taken the starlet...but really, this message from Don Corleone was not about sex.

Apple