My grandfather told me this happened when he was little.
Alarm spread through the village, in short warnings the grown-ups didn't bother to explain to their children. The children were gathered in the homes together with the old, while the able-bodied armed themselves and went out in groups to warn anyone scattered.
Cooped up indoor in broad daylight, the children heard the stories about this particular threat for the first time. A pale spirit of sorts, as calm and shining as a cloud-free and wind-still midwinter night. And as deadly.
They were interrupted by calls of a returning search party. They brought one of the older girls home, dead and cold. Not a mark on her.
Everyone waited out the day and night, fearful or mournful.
By mid-morning the next day, some parents decided the children should see, and took them to the place where the hoofprints had been spotted.
Most fae were capricious, but my grandfather never forgot, the unicorn was most dangerous of all.