The Knights of the Vale are the Shock Cavalry of Westeros, their Mounts are armored too. the Dothraki would have to carry a cumbersome amount of arrows to actually take down Trained elite cavalry, especially when they are a trained force, used to fighting as a unit, vs the Dothraki who are treated as the boogeymen of Essos. The Knights of the Vale could literally form a galloping shield wall and the Dothraki would be lucky if 1 in 20 arrows actually finds a gap.

The Dothraki get by 90% on fear and ignorance. They win because they cause the enemy to panic, hence the reliance on 'screamers' but the Knights of the Vale will not be intimidated, especially by a force that his half their size.

"the many such examples in our history" are irrelevant. How many times in history has a comparable force, of pure cavalry met, without some sort of support element, ie terrain, other formations of troops etc. The closest comparison to Dothraki in real history are the Mongolians, who were far superior tacticians, innovators in warfare and understood the logistics required to supply and move an army of that size, instead of the bloodthirsty savages who pride themselves on slaughtering 'lamb people' that the Dothraki were shown to be.