I guess I'm experiencing this same issue. I own Odyssey and it's installed but my old graphics card can't handle it currently (Combat Tutorial turns into a slide-show and I keep dying), so when I launch the game I just launch Horizons.
I found a great trade price on a commodity just in the station's commodities market. The "buyer" was a planetary base - Fiorentino Nutrition Base - in LHS 1547. I've been to that system before and have fully FSS'd it plus scanned all the planets. But when I went there with the commodity to sell I couldn't find find that base anywhere. Re-FSS'd every planet and physically went to the ones with human settlements but could not find this base. Of course it's a double-star system so it took a few hours to scan, re-scan and revisit.
While I was there I landed on a few stations and pulled up the commodities market and Fiorentino was still listed as a buyer, with the distance as 0.0 ly. So it's sounding like Odyssey bases are leaking over into Horizons but with just running Horizons we can't get to them. And yeah, as someone mentioned above, this base was paying nearly double for the commodity than any others.
Update: Found this title in the Issue Tracker and added my confirmation, "In Horizons client the commodities market shows in the prices compare assemblys from Odyssey" . Was reported May 26th.
Xir.