From your description, it sounds as though you are doing all the right things to help this horse gain weight. Is he, by any chance, a cribber? One thing I can recommend, since you are feeding such a large amount of grain per day, is a hindgut buffer.

A hindgut buffer is much different than a probiotic. If the pH of the hindgut is too low, it is difficult for the fiber-digesting microbes to efficiently derive energy from the forages in the diet. Probiotics do not improve the pH, and certain types can actually make the pH lower. By balancing the pH, the microbial population becomes more effective and the horse tends to gain weight. One example of a research-proven hindgut buffer is EquiShure.

Like humans, horses have individual metabolisms, and a diet that maintains one horse in average body condition might make another horse of the same breed, size, and age roly-poly. Some horses will not ever carry a lot of excess weight, regardless of the caloric density of the diet.