When you throw a gem at a unicorn, it may vanish entirely, like a nurse does, instead of teleporting somewhere else on the level. This makes it unreliable to farm luck from them indefinitely and still have them around to kill later to get the horn and all the gems back.

The chance of vanishing could even be based on the number of gems it is already carrying, so that it won’t or is unlikely to vanish after throwing it a couple of gems but gets more likely after giving it lots of gems.