How do we know if that ghost pony isn't malevolent from the get go? Any form of sympathy could be the trick, and any mistake on our part could be the last. What if it's an evil horror which anything we do on our part for her would end up releasing it and it would go to cause unimaginable suffering?
Either we get a clear guarantee / evidence that she won't try to screw us over, or have her contained somehow, anything to make sure she is PERFECTLY HARMLESS AND SAFE, then we can talk about doing what she want and putting her to rest.
Otherwise, it's safer to get the heck away from it, or even better, bomb the haunted place to ruins until there's nothing left. Weird unknown supernatural threats like these, one simply can't take any chances