Far as I know, they don't. Annoying really. It's not that much of an issue with the sorts of cavalry whose primary and secondary combat stats are nigh identical (the post-Marian Roman ones and Sacred Band, I seem to recall), but for the likes of Cataphracts whose backup weapons perform rather differently it's kind of irritating micromanagement.

'Course, if you don't like the secondary attacks stats of some cavalry they're ridiculously easy to modify, if only by a point or two...