Most people agree that Ana created K's memory of the horse and the bullies and therefore is Deckard's daughter, but at the end of the film, K gives Deckard the wooden horse and then 'remembers' a bit more, which is that the horse was not his but had been left in the orphanage by another child i.e. Deckard's daughter. So, if Ana created the memory from her own, then she can't be Deckard's daughter, or it's a red herring added to the memory to confuse any possible accusations of her having illegally used a real memory?
Yes. She was hidden in the upgrade center by Freysa. The story about her having a "compromised immune system" is likely false.
K remembers that the horse was left there by a child... that child is Ana.
The memory is Ana's memory from when she was in the orphanage.
So Ana has spent the last few years of her life in a single room inside a Replicant upgrade center, creating fake memories for Wallace, who implants them into his Nexus-9s. This is why K has the memory of the wooden horse. It's in fact Ana's memory from when she was a little girl and left behind in a San Diego scrap yard. As Ana explains to K during his initial investigation into whether he's Rachael's son, every designer of memories puts a little bit of him or herself in the memory.
What we're seeing at the end is likely K re-interpreting the memory. The kid is the same child, not a different one from earlier versions of the memory. It's also worth noting that the memories are for the benefit of the audience, not likely the internal memories that K is having. If they were K's internal memories, we would be seeing them from a first person point of view of the child - meaning the camera would be the child's eyes at all times and we'd see what they saw - but this isn't the case. We're always shown the memory from a third-party position.
Here's a useful explanation (from the gaming world) of the differences between first, second and third-person perspectives:
So, even the first time we see the memories, we can see the child. Not as clearly as the last time, but we definitely see more than only their hands and feet. In fact, this seems to be the way the memories are crafted entirely. When Ana's building the memory of the birthday party, if we assume that the girl celebrating her birthday is the person whose memory it is, we can, again, see her. I choose to interpret this to mean that when we see the person, we're really sensing their personal "presence" in the memory, rather than their actual physical representation.
Also, it's valuable to remember that, at any point in time, memories are nothing like a video playback. People often remember sounds, smells, tastes and images but they're unlikely to remember a full sequence of events as if it were a detailed video. Those memories are also corrupted over time. Someone telling you part of their own memory of something can affect what you remember or how you remember something, so I think we should be interpreting the "memory" sequences as something other than direct memories. As with any flashback, they are presented for the viewer.
Interesting tidbit... they actually give away the fact that the child with the horse is female with the first playback of the memory. I remember noticing that the child being chased had hair while the ones doing the chasing had shaved heads. In the orphanage, only the girls have hair, so the child running away must be female.
We don't know that convention to be the case, so we assume that the child is male with short hair.