Sagemaker XGBoost Forecast Horizon Perameter

That's because you can XGBoost only for regression, classification (binary and multiclass), and ranking problems, but not for forecasts. See more info here: https://docs.aws.amazon.com/sagemaker/latest/dg/xgboost.html

For forecasting you could use, for example, DeepAR: https://docs.aws.amazon.com/sagemaker/latest/dg/deepar.html