I don't know any Lojban at all, but I do know formal logic and "there exists" (∃) is usually used to denote existence with respect to some universe of discourse, and not necessarily physical existence. Most mathematical concepts only exist as things that mathematicians talk about, not unlike Unicorns. However, I would read the example sentence as making a statement about all unicorns, of the form "∀ U ∈ Unicorns . U ∈ MythicalCreatures ∧ (∃ H ∈ Horses . looks-like(U, H)) ∧ ∃ H ∈ Horns . (has(U, H) ∧ ∃F ∈ Foreheads . (has(U, F) ∧ coming-out-of(H, F)))" or something to that effect.

The sentence about counterexamples to Fermat's last theorem could be written using an existential quantifier without problem, since it appears in a negated sentence, thus not actually claiming their existence, rather the nonexistence of counterexamples discovered prior to 1993.

However, looking at the definition you linked, it appears that "lo" does not have any specific equivalent in formal logic since "It converts a selbri, selecting its first argument, into a sumti. The resulting expression refers generically to any or some individual or individuals that fit as the first argument of the selbri." which seems to be mostly a grammatical function?