I think it is a shame that The Red Pony is sold as a short novel rather than a collection of short stories about the same character.
Apparently, it was originally written as short stories, and (in my opinion anyway) is much better judged as short stories.
Judged as a novel, it seems a bit disjointed and the fourth chapter in particular seems out of place. The ending of the 3rd chapter is powerful, and links up with the first chapter (with the 2nd chapter as a bit of an interlude), but then the last chapter seems out of place. It felt odd to me. I even went back to listen to it again, thinking I must have missed something. If it had ended after the third chapter, the ending would have been perfect.
It was only after reading that it had originally been written as individual stories that I got it. The fourth story is fine (though probably the weakest), but just seems out of place.
Read (listen to) the first 3 stories as one novel or set of stories, and then read the last story as a separate self-contained story, and I think it makes more sense. At least, that's my thought.