Cavalry in my experience stick quite faithfully enough to whichever of the two weapons they're told to melee with. Alt-right-click invariably has the effect of the primary weapon being used for the charge, and the secondaries being brought out once the charge bonus "expires" and being used until the combat is broken off one way or another.

Sounds to me rather like you're not doing that, which for the most part leaves the horsemen using their very slow, pointlessly AP, very low base attack value lances against a teeming horde of pigherds with knives, which is something of a dictionary definition of "wasteful".