The thing about cavalry in EU4 time, is that actually vast majority of it was light cavalry, and vast majority of the stuff they did had little to do with actual battles.
Just look at the Ottoman armies, they were full of light cavalry that would go around the enemy and raid and cause all kinds of problems, forcing them to split and worry about defending many spots instead of focusing on just one.
Really there should be some kind of battle if not strategic penalty if you dont have enough of it, or fight an enemy who has a huge advantage over you.
So IMO there should be heavy cavalry, high defenses, high cost (kinda like current cavalry), medium cavalry (which is a mix between the other two, also affordable combat cavalry for most people, costs less than heavy, slightly more than infantry), and light cavalry, which is essentially mounted skirmishers; the trick is giving light cavalry some kind of role/significance that isnt necessarily the amount of damage inflicted in battle (because as i mentioned that wasnt their primary focus/role).