"Gravity cannot slow down horizontal movement as it acts in the wrong direction. That is fact."
Wrong.
Gravity can slow down horizontal movement in a situation in which geometry provides coupling between the horizontal and vertical. Specifically, any situation in which the normal force which is the floor's reaction to you pushing down on it, is not vertical but instead at an angle from the vertical. That's where those triangular force diagrams come in - gravity is vertical, but the normal force that opposed it is not, and the difference between them is a horizontal acceleration.
Consider that if you were right, pole vaulting would be impossible. As would swinging on playground swing. Or rolling down a hill. And so (though less obviously) would walking.
If you were to take a step towards and onto a stiff leg, that would be like pole vaulting - you'd convert horizontal movement energy to vertical gravitational potential energy.
The instant-by-instant situation in waltz is a bit more complicated, in that the transition from low and fast to high and slow follows a path that involves bending the knees and then re-straightening them, but the overall effect is much the same.