I encountered one on Ragnarok, freaked out tamed it and was happily riding it back to my base when a stupid Raptor decided "I'm about to ruin this man's career" and killed my Unicorn. I have yet to find another one and I have a gravestone for my lost Charlie.
I saw one right by the inlets across the river from the red obelisk when I first started as a level 1. I wasn’t equipped to capture it then obviously. By the time I did it vanished and I haven’t seen him since. :(