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Core book, p.11, says the Zenith and Nadir set off with the destination Aldebaran. It also says the Zenith reached its destination. If that's the case, why isn't Aldebaran part of the Third Horizon?

It is. It's just called Dabaran.

According to Wikipedia, Aldebaran in Arabic is al-dabarān. So drop of the al, add a few centuries of linguistic and cultural drift. And viola. Dabaran.