My guess is they included the small sleigh to make it look more "Christmassy" without needing to increase the price of the set.
The full-size sleigh would have been nicer and perhaps more practical for play purposes, but it would also have made the whole set a lot less affordable.
IMHO, the best thing in that set is the elves. Those curly-toed boots and floppy hats are absolutely adorable!
Next to the light-up Christmas tree, they are my favourite item from all of the Holiday sets.
I've bought some elves from the DS and was thinking of painting some of their trousers and hats in different colours in order to get a larger group that don't all have the same uniform.