The official character description for Celestia is that she is a "princess pony; the only pony with both the wings of a pegasus and a unicorn's horn" (or something along those lines). So, I think it is safe to assume that only Celestia, Luna, and any other royalty TBA could have both wings and a horn. When it comes to the Hasbro toys and cartoons, there has always been a distinction between the Pegasus ponies, Earth ponies, and Unicorn ponies. The physical features of a pony make them just as special as their cutie mark and usually tie in to some other hobby or skill (athleticism for Earth ponies, speedy flight for Pegasus ponies, magical ability for Unicorn ponies, etc.). Having a pony with all of these features would kind of be "OP" in the MLP universe. Even the royal ponies from the original cartoons didn't have both. Celestia and Luna are the only ones with these features and it was probably done to make them stand out more as the Princesses/Goddesses of Equestria.