I have a theory about this guys. And also why all the Palace guards or "Day Guards" look basically the same with some exceptions (like Shining Armor).
When a pony, be it a unicorn, a Pegasus or Earth Pony, accept a position as a Palace guard, they swear their loyalty to Equestia, and ONE of the two princess, Luna or Celestia, becoming either a member of the Day Guards, serving Celestia, or the Night Guards, serving Luna. After the oath of loyalty, the pony in question is "knighted" by the princess they swore to, this ceremony is completed by having the Princess give them part of their power. The guards of Celestia then all get a white coat and blue mane, in the case of Pegasus, or a brown/gray coat and silver mane in case of Unicorns. And one or the other for Earth Ponies. That explains why every single Pegsaus and Unicron that we see in a royal guard uniform looks exactly the same.
Night guards, getting part of Luna's magic, get a dark grey coat, dark blue mane, and also other transformations, like longer and more furry ears and cat like eyes. And in the case of Pegasus, their wings turn into bat wings. We only see two in the series, pulling Luna's carriage in the episode Luna Eclypsed, but that's because Luna has been released from her 1000 year banishment for just about a year by then, and therefore the night guard hadn't been restored fully yet.
I have a question for you. I've been hunting around and so far I can't seem to find a single picture that answers one question of mine. What do those night guards wings look like when closed? Every pic I find of them they're open.