You're aghast at what you're being told. The plush was supposed to somehow brainwash you when it transformed you! Autumn's prattling on about what her Master was going to make for dinner tonight while you're having your private breakdown, but that won't work. You need to know more.
"Wait, Autumn. You said that the plush toy didn't make you like being a pony. What did?"
She looks thoughtful for a moment before responding.
"Well, yeah, Master's toy didn't work how it was supposed to. I was pretty just like now, but I was unhappy. Master tried to fix it using another toy, but that made Autumn..."
She looks away from you, clearly distressed by the memories.
"It made me bad. Master had to tie me up, or I'd hurt myself. It took a long time, but Master made me better. That's why he's the best!"

She finishes on a smile, and for a moment you're silent as you attempt to process what you've just learned. He tried to use another plush to make her compliant? From the sound of it, that didn't work out too well. You manage to keep your voice level just long enough to ask one more question.

"Autumn. This is very important. is that what he is going to do with me?"

"Of course not, silly filly! Master said tha-"
She's interrupted by the sound of a door opening somewhere downstairs, and before you know it she's bounding out of the room.

"Master's home! I'll bring him up to see you!"

You can't decide if that's a good thing or not. He's made you into a p0ny. He was planning on selling you! Now here you are, in a kennel in his bedroom, while he tries to figure out what to do with his defective merchandise!

But he hasn't done to you what he did to Autumn. Maybe he doesn't want to hurt you. He was so gentle when he picked you up. He said such nice things...

Regardless of your battling emotions, you find yourself pacing your kennel, tail swishing back and forth behind you in excitement. You realize you're acting like a dog and try to calm yourself down, but you can't sit still and they're still not back. You can hear movement downstairs, but can't figure out what they're doing. What's more important than checking in on your prisoner?

Finally, you hear footsteps trudging up the stairs toward you. The small knot of fear in your chest is overwhelmed by excitement at being able to talk to somebody again. You don't know how long you were in that hole, but you were practically jumping up and down at the thought of having company again, even if it was just Autumn telling you how doomed you were.

Then, finally, Autumn bounds back into the room, chattering happily at him as he enters holding a pair of bowls. You stare at him in silence as he opens the door to your cage and places a bowl full of fruit and vegetables before you. Without a word, he goes to shut the door again when you speak up.
"Ah, excuse me, but.."
He freezes and makes eye contact with you, and for a second your heart flutters.
"Th... Thank you for the meal."
He just smiles and pets you on the head. He's still treating you like a dog, but when he's here with you it doesn't seem so bad. In that moment of eye contact, all your worries and questions were gone, and you just wanted to be good for him.

Oh god, what has he done to you?

You desperately want to understand what's happening to you. You shouldn't want to please him, he's a monster! He taken others and done the same to them, too! Autumn does seem well cared for, though...

He takes a few steps and seats himself in an office chair, then powers on a computer on the desk in front of him. You consider just eating you meal and hoping he'll talk to you later, but Autumn speaks up.
"Master, Zephyr's got questions! Shouldn't you talk to her?"
He gives a large sigh, then turns the chair around to speak with both of you.
"Listen, I promise to talk with Zephyr soon, but I'm exhausted right now, and I just need to relax for a bit first, alright?"
She pouts a bit, but comes up with a retort.
"Could she come out of the cage to play, then? I never get to play with the others before they go away."
This time the exasperation is written on his face.
"No, honey. She's not ready yet, and I can't have her running loose without supervision. Maybe once I rest a little."
Autumn's sitting very still, but the perpetual smile she wears takes on a slightly different look, and the odd gleam in her eye reminds you of something, but you can't remember what. It doesn't take long to remember, though.

Autumn closes the distance between herself and her Master and seems to jam her face onto his waistline. You can't make out what she's doing, but the Master seems just as shocked as you are.

It takes a moment, but the jingle of a loosed belt and  the sound of a zipper opening give it all away. Oh, oh no. She's not trying to...?
Then you hear the Master's small moan, and understand true horror. She's pleasuring him, and you're a captive audience to this new kind of depravity.

For a moment she seems to be fumbling with his underwear, but eventually manages to remove his hardening member with only her mouth. For a moment she pulls back and looks up at him.
"Getting on that computer isn't going to help you relax one bit, Master. Let your Autumn take care of it."
The Master seems to have given up on stopping her, and he lets out a small groan as she licks his full length before taking it in her mouth, never once breaking eye contact with him. She works slowly and laboriously up and down his shaft, and while he reclines fully and closes his eyes you can't look away. You'd really like to, but the surrealness of the scene playing out before you and the slow heat building in your nether region keep you fixated on Autumn's bobbing head and your kidnapper's throbbing cock.

Without realizing it, one of your forehooves finds it's way to your as of yet untested marehood, and you feel an alien thrill of pleasure as you begin to clumsily rub yourself. You're aghast at what you're doing, but it's all too much, and it feels much too good to stop now.

Autumn's been hard at work for quite a few minutes now, and the increasing volume of her Master's groaning seems to indicate an imminent finish. You're staring right at her and with small moans, you find yourself totally lost in the moment. The pleasure you're getting from the limited reach of your inexperienced hoof is astonishing. Then, with your soft moans building in frequency she turns her head just a bit and, still sucking on the Master, makes eye contact with you. The shame of being seen like this is there, but it has absolutely nothing compared to the sheer eroticism of the moment.

With a shuddering groan the master comes, and Autumn never once breaks eye contact with you, even as she swallows. The Master pants for a moment, then mutters about cleaning himself off and departs for the bathroom. For a moment, shame overwhelms you. Here you are, sitting in a locked cage, getting off to a man and a small pastel horse going at it.

You're momentarily distraught at your new-found perversion, and disgusted by the unfamiliar pleasure radiating from your crotch. Autumn wastes no time in trotting over to your cage, and before you can ask what she's doing, she's put her forehooves through the bars, looped them around your lower legs, and pulled you ass-first toward the bars.

Splayed upright with your legs pressed against the bars and you marehood pointed right at Autumn, you balance on a forehoof to keep your wings from getting crushed. Your confused stammering manages to give her momentary pause.

"Wa... Wait. What're you doing?"

She looks up at you with bedroom eyes, and begins to lower her head toward the gap in the bars opposite your marehood.

"Shhhh little Zephyr. Let Autumn teach you one of the best things about being one of us."

You began to protest, but it all faded into a moan when her tongue met your folds. She went to work quickly and mercilessly, assaulting your marehood and overwhelming you in pleasure. Your try to work yourself away from you, but she keeps her forelegs locked around your rear ones, and you can't muster the strength to break free. You're helpless, and both of you know it.

Your moans grow louder and she begins to assail your clitoris. Rapid flicks of a rough tongue back and forth over your new anatomy produces sensations more intense than you've ever experienced. You're absolutely lost in blind ecstasy, to the point where your moans for her to stop have instead become demands that she not.

But then she does. You eyes snap back open and down to Autumn, who is removing her soaked face from your nethers and staring up at you. You begin to mewl in frenzied desperation. She gives you a smile and makes her demand.
"You want me to finish? Then repeat after me; I'm Zephyr, and I love being a pony"
Some small part of you knows what she's doing here, but you need this. In quick breaths you moan it back to her.
"I'm Zephyr, and I love being a pony"
She rewards you with a small lick up the length of your folds before continuing;
"And I love my Master for making me one."
This time you do stop for a moment, but another small flick of her tongue and you find yourself crying out again.
"And I love my Master for making me one!"

Her assault resumes, and your moans become pitched. You know that you're building towards climax, and you've never needed anything more in your entire life.

She only has to stop for a moment this time.
"Again"
"I'm Zephyr and I love being a pony! And I love my master for making me one!"
It's coming. Your eyes roll back into your head and spasms wrack your body.
"Again."
"I'm Zephyr and I love being a pony! I love my Master for making me one!"

The last call is carried long and loud by the force your the most incredible orgasm of your entire life. Zephyr lets go of your legs, and you curl up into yourself on the floor or your cage as a warm haze of afterglow settles over you.

For a moment, you are satisfied and at peace, until you hear Autumn speak;

"Hear that Master? She's coming around just like you said!"

Sure enough, there he is in the doorway to the bedroom, looking absolutely flabbergasted. You feel your face grow red hot as you begin to blush. A sense of cold, terrible shame rises up out of your stomach. Here you are, mutated, abused, and caged, and now you've screamed out your love for the man that did it to you. All of that, mind you, while another brainwashed transformee violated you!

and you liked it...

A quick sob escapes, and the Master suddenly stops scolding Autumn as the two turn to the sound of your crying. The Master gives a long sigh and a quick facepalm, while Autumn's expression sinks and she runs to the nearest set of cage bars.

"Oh no, honey, I'm sorry! I didn't want to make you unhappy! Please don't cry, I just wanted to help!"

A lower, slower cry joins your own, and you realize that Autumn has started crying too. You can't explain why, but you feel worse for her than you do for yourself. You're about to forgive her when you find yourself being pulled out of your cage.

Suddenly you're in the Master's arms, and with his face mere inches from your own you're too shocked to continue crying. He pulls you into a tight hug, and for a moment everything is perfect. He quickly sets you down on his bed, does the same with Autumn, and sets her down beside you. You share a hug yourselves, and the matter is settled for the moment.

With all that done, he sits down in his office chair, and with you two seated squarely on the bed, it's finally time.

"Alright, let's talk."