Yeah, I'm not sure we're entirely remembering the point here. In Dizzy at the end of the game there are numerous things that will have been left unfinished including several enemies left unkilled because Dizzy is unable to reach them. We know this.
We also know, if we're reading the screen scrolls, there is an area on the map called the secret cave. We can go to the screen and we can see it, but the 'secret' area the term refers to is above Dizzy's head an utterly inaccessible from there. It contains an extra life that can't be collected and a bat that can't be killed all because there is no obvious access to the area. This is no surprise, the area is called the 'secret' cave so it would stand to reason that the way to get in would be a secret.
So far as I can tell no one has ever discovered the secret or shared the secret in all the years since the game was published. The theory in this thread appears to be that the horseshoe magnet has some role in revealing that secret, which may or may not be the case. But if it's a secret, there may even be more people that don't know it that do. Even people at Codemasters may not all be privy and may not all wish to share it if they are.
I can see three possibilities:
1. The secret cave is accessible by means current unknown, the 'secret' is currently undiscovered.
2. The secret cave is inaccessible because memory constraints prevented the secret being preserved in the game, the area was however as it was easier than unpicking the whole map.
3. The secret cave is inaccessible because the Oliver twins have a mean streak and deliberately put in to frustrate us. The seems unlikely to me as they don't tend to come across that way although since both the horseshoe magnet, if it really does nothing, and the hungry skeleton, which also does nothing obvious, both remain in the game taking up memory but serving no obvious purpose, gives some support to the possibility.
4. A fourth possibility, that I think is not very likely at this time is that the reason the horseshoe magnet doesn't work is a coding error and it was intended to have functions similar to those we speculate about.
Until we not for sure which of these possibilities is correct, we should keep in mind the possibility that the secret cave is accessible even if it turns out that the horseshoe magnet isn't the way to get in.