After working this out I'm confident that I have found out the answer to my question. I shall post it here. Corrections are highly appreciated in the event something is wrong. The main point seems to be:
In Schwarzschild spacetime there are three categories of radial null geodesics: the ingoing, outgoing and the horizon generators.
This has been also a subject of another question of mine which I answered giving the details of this construction.
The ingoing/outgoing radial null geodesics have $r$ as the affine parameter and they have a simple characterization in terms of the Eddington-Finkelstein coordinate systems.
Indeed in the ingoing Eddington-Finkelstein coordinates $(v,r,\theta,\phi)$ the ingoing radial null geodesics are simply the coordinate lines of $r$, parameterized as $(v_0,r,\theta_0,\phi_0)$ by $r$ which is an affine parameter.
In the outgoing Eddington-Finkelstein coordinates $(u,r,\theta,\phi)$ the outgoing radial null geodesics are simply the coordinate lines of $r$ as well, with parameterization $(u_0,r,\theta_0,\phi_0)$ by $r$ which is again an affine parameter.
Regarding these two classes of radial null geodesics, using the Eddington-Finkelstein coordinates is merely a convenient choice of coordinates making them coordinate lines. They can also be written down and studied in Schwarzschild coordinates as I show in the other answer.
Now we come to the horizon generators. These are radial null geodesics with $r$ constant. They are obviously a separate class since the ingoing/outgoing are parameterized by $r$ which can't be turned into a constant simply by reparemeterization.
It can be shown - and the details are reffered again to the linked question - that this class only has solutions when the constant $r$ is $r = 2M$. These therefore can't be studied with Schwarzschild coordinates simply because this region is not covered by that chart.
It has two parts, however, each covered by one of the Eddington-Finkelstein coordinates. Working in the ingoing system, it can be seen that such radial null geodesics are parameterized by $$(v,r,\theta,\phi)=(4M\ln \lambda,2M,\theta_0,\phi_0)$$
where $\lambda$ is an affine parameter. In the same way, in the outgoing Eddington-Fineklstein system, these radial null geodesics are parameterized by $$(u,r,\theta,\phi)=(-4M\ln\lambda,2M,\theta_0,\phi_0)$$
It can be shown that the surface $r = 2M$ in each of these systems is a null surface and these geodesics are precisely the generators of the surface.
Finally, if one pass to the double-null Eddington-Finkelstein coordinates $(u,v,\theta,\phi)$ a drawback occurs. The surface $r = 2M$ is pushed to infinity of the coordinates. One therefore would like to introduce coordinates pulling it back to finite coordinate value.
A nice and geometrically motivated way is to peform a coordinate transformation satisfying two conditions:
We leave the angular part alone and transform $U = U(u)$ and $V = V(v)$. This ensures that $v$ constant is the same as $V$ constant and $u$ constant is the same as $U$ constant. Thus in such a system, the ingoing/outgoing radial null geodesics are still coordinate lines. This changes nothing about their affine parameter being $r$.
The coordinates $U,V$ should, when evaluated along the $r = 2M$ generators give the affine parameter. This makes then well defined and finite at $r = 2M$ by definition.
Inspection of the parameterizations of the horizon generators suggest $U = - e^{-u/4M}$ and $V = e^{v/4M}$. They satisfy the two conditions, the minus sign being a convenience, which doesn't change the fact that $U$ computes an affine parameter along horizon generators.
Finally, it can be seen that along the outgoing/ingoing null geodesics, $U$ and $V$ can't be affine parameters. This is because their coordinate lines, which are the outgoing/ingoing null geodesics, if parameterized by $U$ and $V$ do not satisfy the autoparallel equation in general. This would demand $\Gamma_{UU}^U =0$ and $\Gamma_{VV}^V=0$. But this answer shows these connection coefficients which can be seen to be zero just on the horizon.
So the conclusions are:
The Kruskal Coordinates $U$ and $V$ have as coordinate lines all radial null geodesics. The ingoing ones are $(V,\theta,\phi) = (V_0,\theta_0,\phi_0)$ with $V_0 \neq 0$. These are affinely parameterized by $r$, and when parameterized by $U$ are not affinely parameterized since $\Gamma_{UU}^U\neq 0$ here.
The outgoing ones are $(U,\theta,\phi)=(U_0,\theta_0,\phi_0)$ with $U_0 \neq 0$. These are again affinely parameterized by $r$ and when reparameterized by $V$ are not affinely parameterized since $\Gamma_{VV}^V\neq 0$ here.
The horizon generators are also coordinate lines. The future horizon generators are $(U_0,\theta_0,\phi_0)$ with $U_0 = 0$ and they are affinely parameterized by $V$. The past horizon generators are $(V_0,\theta_0,\phi_0)$ with $V_0 =0$ and are affinely parameterized by $U$. Obviously $r$ can't be a parameter here since it is constant by definition.
So $(U,V)$ and $r$ are affine parameters of radial null geodesics, but each for certain subcategories of said geodesics.