I have seen people do that before. Pony plastic can be sanded, I've done it for bite marks. You can also smooth the plastic with 100% acetone though it takes some elbow grease.
You're so good at sculpting too, you could always make a better connection using polymer clay or Apoxie Sculpt if you have that. But then you'd need to paint match and matching white is tough. It can be done though. Another option is to just sculpt the wings, or make a mold out of the originals.
In either case, I don't think it will look bad
Big Brothers have more space on the sides to work with so I'm sure you can get them to look good.
I like both of your characters
I think you should go for the pegasus though. You can do it!