There are several different answers that could be considered when thinking of what it means that Paul continues to ride the rocking horse. He begins to spend a great deal more time on it as the stakes get higher and higher. It reaches the point where he has to return to his boyhood home and ride for hours and hours to determine the winner of the derby and in the end, it kills him.
Because of the fact that the horse is not mobile, and that in some ways it demands more and more of Paul until it takes away his life, it is perhaps a symbol for the emptiness of the incredible quest for money that seems to drive so much of our society and determine so many people's perceptions of whether they are happy or not. The horse never takes him anywhere and he has to constantly appease it in order to have this odd talent, so Lawrence could be suggesting the futility of that quest.
It could also simply be the manifestation of the mother's lack of an ability to love and the way the boy is trying so hard to make his mother happy. She hasn't provided him the kind of environment or opportunity to progress or grow past this childhood rocking horse so it serves as a physical manifestation of this lack of love or nurturing.