While it seems like a good idea initially, I don't know that it will stop any of the poaching. The poachers will still ship the horns to Asia, where they will still be sold. Now it will just be risky for the person buying the horn- its not like there's a USDA quality control center to grade your illicit rhino horn.
Another question- how toxic is the dye? Could it be fatal? If yes, then those conservationists run the risk of being charged with murder for intentionally putting poison into something planned for consumption. I'd be interested to hear from any lawyers on the forum that might have some perspective on this.
If its not extremely toxic, then it probably won't have enough potency to do anything as I imagine that the rhino horns are probably ground up, added to something else, and then consumed in very small quantities anyway.