According to Paradox, a particular mode of transportation (a truck, a horse, a shortbus) the soldiers have used to get to the battlefield affects their performance. I mean, I can easily see our proud shortbus inf ridiculed by the enemy propaganda... but malus - wtf???
(The actual malus of cavalry would be inability to sustain long battles as they simply don't carry enough ammo, but I don't even know what stat would reflect that in the game.)
Yeah, one would actually expect Cavalry to have a better performance in rougher terrain types than Motorized, like Mountains for example.