In general is not recommended to ride a horse with the fly sheet on as it can restrict horse's movement or get caught in the stirrups and be pulled off by the horse's hooves. Fly sheets are very important as they protect the horse from the insect bites, but you should respect the manufacturer's recommendations on it's use to avoid unnecessary problems.  However, some fly sheets are specifically made to ride in it. One example is the Cashel Quiet Ride Bug Armor Flysheet. It is made from a light-weight, soft mesh designed to shield your horse from flying irritants on the trail or in the practice pen. It is cleverly constructed and adjustable, and it easily connects to the bridle and saddle to provide full coverage without inhibiting the rider or effecting the horse’s natural movements.