Yes, it does. The horn is in the control box and the temp sensor is in the head. There are actually two temp sensors in the head - one for the not horn and one for the thermo controled choke function. The choke sensor is on the port side of the motor and the horn sensor is on the starboard side.
If you ever get an unexplained sounding of the horn, meaning that the horn is going off but you are certain that the motor is not overheating, check for a ground in the wiring from the sensor. One common place for this to occur is underneath the number two coil, because the wire runs from the sensor through the area of that coil. It is very easy to pinch the wire between the coil and the rack that it is mounted on, when replacing that particular coil.
The horn is better than nothing, but I wouldn't rely on it. I've had to rebuild way too many powerheads that were burned up in seconds when the water pump spins a hub at high speed, and the horn never got a chance to go off. You can hardly get it shut off fast enough when this happens. Pee holes are just as worthless. Are you going to be looking back at it all the time or are you going to look where you are going?
Best way to be safe is preventative maintenance. Know that you have a good water pump in there and don't take chances.
BTW, if you want to test the hot horn, the recommended procedure is to expose the blade connector near the sensor and ground it to the powerhead. The horn should sound and, if it doesn't, you have a problem with it. Be sure, of course, to have the key switch in the on position when you do this so there will be power to the horn.