I don't really like the idea of Evelynn having horns, as it makes reference to her being a demonic creature, instead of a "potential" corrupted human.
The idea of her being born as a "monster" doesn't really add to much depth compared to a person who studied black magics and turned herself to the Evelynn we know. Or maybe more... maybe someone transformed/cursed her, and to take her revenge, Eve murdered the one who knew how to also free her from this sadistic state.
May she be freed from this curse? May she be human? We don't know... that is a part of her charm. Horns may not be as much of a factor in her overall lore, but for me and probably some other players, they make pretty her look like she has been a demon from the start.
No mysterious Assassin that may have come from Shadow Isles (or actually be resurrected there), no possible human that just got corrupted/cursed, she may be a creature summoned by I don't know who, but it makes a cliche...
A Seductive Succubus that feeds of the feelings of her prey, bringing both bliss and terror to them in order to get their maximum potential.
The Current Evelynn that I know is a human that has an unnatural affinity to dark magic, and does what the Succubus does in general, with one BIG exception: she doesn't feed of her prey, she just enjoys it.
"Your pain is my pleasure."
She is the true definition of a sadistic, and she should never ever just steal Mordekaiser's core attribute: power from pain.
Overall, I think the horns would turn Evelynn into a cliche, and even if they would avoid the "Succubus" theme, then they will need to overhaul her whole character (at least from my perspective).