On the face of it, this seems like a massive shame. It's the same argument as wearing old furs: "well the animal is dead now, so it doesn't matter".
Unfortunately, the reality (for wildlife products like rhino horn and elephant ivory at least) seems to be that any trade in certified legal products drives a huge spike in demand for illegal products.
It's sad that the rhinos had to die to give up their horns in the first place but probably better to burn them now rather than risk fuelling illegal demand
Late last month, armed guards escorted officials marching 60 kilograms (132 pounds) of rhino horns to a pyre for burning. The event, at the Dvůr Králové Zoo in the Czech Republic, was the first public burning of rhino horns in Europe.