The advent of the Sisters, Princess Cadance, and the Royal Family of the Unicorns.
After watching the recent Season 2 finale, I've been mulling over some ideas in terms of the nature the Princesses that we've seen in canon. This is a ramble based on my own headcanon, so take it with a grain of salt. I'm sure genuine canon will blow several holes in this eventually.
I'll start with my belief that Celestia and Luna as immortal demigoddesses were not born in the conventional sense of having two parents, but manifested rather like Aphrodite from the sea foam, or any number of other mythic deities who sprang fully formed from the elements.
In this case, I believe that both Sisters were born from the fiery heart that manifested in the sky when the three pony tribes came together to found Equestria. If I were to flesh out the story I'd posit that Celestia, the eldest, was born when the morning sun rose on the longest day, making the Summer Sun Celebration also her "birthday". After her arrival, I imagine the heart would be much reduced in size, softly glowing and only visible at night, until during a full moon on the longest night, Princess Luna, the younger sister, came into the world. Both Princesses, in addition to being granted power over the sun and moon, also represent aspects of all three pony types, as they were born from the harmony of the tribes.
(On a side note, the flaming heart seen over Canterlot at the end of "Hearths Warming Eve" in my mind is a traditional firework or illusion cast by unicorns to commemorate the original manifestation of friendship between the tribes.)
I imagine that shortly after the Sisters were born, they were adopted as honorary members of the hereditary royalty of the unicorns, making them the "daughters" of the unicorn monarch (perhaps of Queen Platinum, after she succeeded to her father's throne). This would make them adopted sisters to the monarch's children, and aunts in turn to their children, so on and so on through generations until everypony with any connection to the unicorn royalty would be considered the Princesses' nieces and nephews. Technically, Prince Blueblood or Princess Cadance would be great great great great(to the nth degree) nephew or niece, but since there's only so much space on a scroll or so much breath in a herald's lungs, they just say "niece" or "nephew".
This idea further explains why as rulers of Equestria the Sisters stayed with the title of Princess rather than assume the mantle of Queen, as they are adopted members of the royal family rather than blood relations. There may even be a nominal King or Queen of the unicorns still, but true power has been in the Princesses' hooves for a long time and it would at most be a ceremonial position like most modern day kings and queens on earth.
I'm not entirely certain how the Sisters' battle with Discord features into this. I might well imagine that the Sisters were alive before the villainous chaos spirit's arrival on the scene. Perhaps without the flaming heart to remind the ponies their divisions and quarrels would have given him more and more power until he took over, eventually forcing the Princesses' into a conflict with him, until such time as they used the Elements of Harmony to defeat him and took back control of the day and night.
Now regarding Princess Cadance, I believe that she isn't an alicorn so much as she is a winged unicorn. I imagine that shortly after the founding of Equestria, there was a fair bit of intermarrying to cement political and social ties between the three tribes of ponies, and thus pegasi nobility would marry into the unicorn royal family. Eventually, hybrid ponies with both wings and horns would arise, perhaps exclusively to Canterlot royalty. (Which is a damn sight better than Hemophilia as a sign of royal breeding.)
Crossbreeds with earth ponies would be a lot less easy to spot, as in the case of Pound and Pumpkin cake where having unicorns or pegasi in the bloodline could result in a typical looking specimen of any of the three types, even though technically they would be hybrids. I also imagine that perhaps cementing ties between ruling families wasn't as important with the earth ponies as they seemed to be operating in a more egalitarian mode, with an elected chancellor instead of a hereditary ruler.
Perhaps winged unicorns pop up among pegasi populations as well, but I see it as being much less common if not nonexistent due to the logistical difficulties of a ground bound pony marrying into a pegasi family. A lot depends on when the cloud walking spell Twilight cast in "Sonic Rainboom" was invented, but even if it dates back to pre-Equestrian times (which I doubt, due to the conflict between the tribes), it would also mean that the earth pony or unicorn bride or groom would be essentially a prisoner in their home in a pegasi community.
Further evidence, in my mind, that Cadance is a unicorn with wings rather than an alicorn is that she's mortal. She's seen to have aged from being a teenager when she was babysitting Twilight. I presume she's capable of bearing children to Shining Armor, and I also presume she will grow old and eventually pass on with him. (Of course, these are purely assumptions, but there is no canon support for the idea that Celestia or Luna ever married or produced offspring, so it's essentially a very open area to interpretation.)
An immortal would probably avoid marriage to not have to go through their beloved fading away before their eyes while they stay the same. Even if Cadance was a recently born immortal, I'd presume that as benevolent members of the royal family Celestia and Luna would gently nudge her away from bringing that sort of heartbreak onto herself.
Also, her magical ability to create love between ponies seems more on par with a typical unicorn's special magical talent, like Rarity's gem finding or Shining Armor's shield spell. (Whereas Twilight, as a magical prodigy capable of duplicating other unicorns' unique abilities, is a bit more a-typical.) This, and the fact that she has a normal mane rather than the flowing, etherial mane that marks the power of the royal Sisters, points to her more natural origins.
And so that's how I think Cadance fits in to the world of Equestria, as a mortal scion of the unicorn royal family, a descendent of pegasi nobles and unicorn kings and queens, honorary niece to the Sisters as are all the nobility of Canterlot, and future mother of Shining Armor's children and Twilight Sparkle's nieces and nephews.