I'm pretty sure most of them did not have that same horse memory. Ana was just one of many memory-makers selling to Wallace, and seemed to make multiple memories every day. I think she just illegally sold one of her real memories with her made up memories (for whatever reason) and that memory just so happened to be implanted in K, who was coincidentally investigating the orphanage where the real memory occurred.
The one-eyed replicant woman just said that all her replicants wished they were the one (like K believed he was). They all probably had existential crises like he did, but his was probably a lot more profound considering he is one of the new hard-to-shake replicants who will usually never go rogue.
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