I've always heard it was "blessing" of unicorns but that sounds too twee for me. I was once told merfolk were a "chorus", which I far prefer over the term "splash" which I've seen used.
I can't help but feel there is something disrespectful in using "herd" for centaurs. You get human collective nouns as well, such a "huddle of lawyers", a "coven of witches" or a "stalk of foresters." Maybe centaurs need their own. A "thundering"? A"gallop"?
The old terms are from medieval venery and as they often refer to hunting distinguish between creatures at different stages life settings. As such I've spoken of "a clutch of hatching", but "a roost of wyverns".