Powerful

The joke is that the chess piece has no legs and is incapable of walking.

I can check out anytime I'd like.. but I can never leave

The joke is that while the horse is preoccupied with walking the straight line, the cop will sneakily give a signal to his drug dog to falsely indicate a hit on the car, which will give the cop all the grounds he needs to detain the horse and search him and his vehicle, in yet another example of how the Constitutional rights of law-abiding citizens are being eroded not only by law enforcement officials on the streets, but also by the elected representatives and lawmakers who reside in literal mansions and enjoy luxurious lifestyles funded by billionaires and global mega-corporations in exchange for refusing to represent the interests of their constituents and who care only for maintaining their prestige and expanding their authority over their countrymen.