I think it's refreshing that Hot Toys occasionally chooses to do something that isn't a superhero. As for popularity, as others have pointed out, HT markets to other areas of the world besides the US and UK. Maybe Depp has a big Asian following? If it's true that HT has a "master Depp license" and they can make any figure of him from any movie, I have a bad feeling their license is about to become much less lucrative for them soon, as Depp seems to be edging away from his heavy makeup fantasy roles after the last couple have met with mixed reviews. I personally loved Dark Shadows but it wasn't a hit. Now I think he's playing Whitey Bulger (and if Hot Toys gave us a Depp as Whitey Bulger figure I'd just have to laugh.)
I think Walken as the Headless Horsemen could be a much better seller for them than Ichabod Crane. Horror enthusiasts in general would want one whether or not they had seen the movie, and Walken fans would want one too. Even horror fans who don't want a Walken on their shelves would buy it if it had a switch out head. It's a no-brainer I think. Of course this is Hot Toys we're talking about, the company that had the Watchmen license and didn't make a Rorschach, so anything is possible.
I think if anything is stopping HT from making the Horseman it would be the fact that he sort of needs to come with a horse, but a horse would increase the cost greatly and the price might end up dissuading a lot of potential buyers. On the other hand you just can't make him without the horse. So either way HT gets burned, potentially.