When it comes to indigo rarity, it wasn't directly said, but the title "grand highblood" given to Gamzee's ancestor seems to suggest incredible rarity.
I assumed that it meant that he was just the leader of the Indigo bloods. I don't think Hussie ever went into detail about that. Anyway, just for balance in-game, because of their Building destroyer tag, high strength, and rage, it's probably better for them to be rare.
Psychic powers would be nice, but it would require me to make more castes
(red_psychic, brown_psychic, etc.)
I can't even remember where what I was talking about was said, and I'm terrible at modding, so I'd be unable to help even if you were to add psychics.
For horns, I think whatever is used for bones would probably be used. Horns in Vanilla DF use BP, as far as I can tell.