They can make good scouts traveling much faster over poor terrain but you'll want to be careful with them. if the enemy sees YOU first it can get unpleasant
Historically Cavalry is used to pursue and harass the enemy. If you can arrange a situation where a lot of the enemy infantry is in retreat or rout and you send a force of cavalry in to close assault you'll find they can be devastating. The trick is making sure the enemy are cut off from their HMG covering fire. Smoke helps with that. If you are playing PBEM and can work Cavalry behind your opponents lines he'll never forget it
GENERALLY they are not used in the game for all the reasons they stopped being used much in the 20th century
Don