My sister had Perfume Puff Palace from new but from a clearance store, and all the accessories she had from it (which she promptly lost, sigh) matched the box photo pretty much (clips and ribbons and things). I have one in box from a carboot sale with a bunch of accessories inside that don't match, but the people I got it from probably mixed and matched what they sold with it, as they did with other ponies they sold.
I don't think it's from the Perfume Puff Palace. Main reason is that the playset is essentially the same as the US one, down to the box style. The only change is the name and therefore the name label on the box. Even the story on the insert hasn't been changed to omit pony names of characters not sold in the UK (unlike the Crimp & Curl story, where Taffy is replaced by one of the Party Ponies). I forget who it is, but I think it's a Princess. Dawn maybe, or Misty...still in the Perfume Puff Palace story. So Hasbro didn't make a lot of effort with that set for the UK release. I don't think it was ever meant to have a tinselled clip, so I'd be surprised if it came from that.
I would love to know the possibilities of the comic, though. That often throws off the accessory things, because of the random accessories that were sometimes gifts (like newborn bottles, Merry Treats' comb, etc).
@DalaPony - is there any possibility, being that you have the correct DJ clip, that the blue and red clip might have come from a different source at the same time, and so you put them together? I'm thinking the pony comic specifically, really - did you have the comic as a kid?