Oftentimes, round bale hay quality is less than that of square bales. I've heard it said that farmers round bale hay that isn't good enough quality for square bales. Also, not too many people store their round bales inside, which means they start to go bad before you even use them. Not a problem for cows, but horses need better quality hay than cows.
Unless you have a big herd eating the round bales, they will go bad (moldy) before they get eaten. If they get rained or snowed on, they will mold in a few days. Back when we had 23 horses, round bales worked out okay since the horses finished a bale in three days, but with a small number of horses, the bales will go bad before they get eaten.
While round bales do seem easier to handle and feed, I think square bales are more efficient (less waste).