From the game's encyclopedia
Heavy Cavalry are mounted, heavily armored Men-at-Arms
While each kind of Heavy Cavalry is unique, they generally Counter Archers, and are in turn Countered by Spearmen.
Heavy Cavalry are also often strong on flat Terrain.
In comparison with Light Cavalry, they are usually stronger at raw Damage and Toughness.
The game's text for patch 1.20.1.2. Words in blue are entries of the encyclopedia: hover one to read it, as in the game.
Heavy Cavalry is an entry of Crusader Kings III's in-game encyclopedia. The game explains it: "Heavy Cavalry are mounted, heavily armored Men-at-Arms" It is part of Men-at-Arms. Patch 1.20.1.2, from game/common/game_concepts/00_game_concepts.txt and game/localization/english/game_concepts_l_english.yml.
Source: game/common/game_concepts/00_game_concepts.txt, game/localization/english/game_concepts_l_english.yml and the English localisation, Crusader Kings III 1.20.1.2.