Disclaimer: I really do no understand this whole "My Little Pony" thing that has kind of permeated the internet - especially adults being fans of it. So my responses are strictly from a balance / potential min-max perspective.
Race: Looks perfectly fine, and is pretty close to what I would have given a medium size horse species (the obvious exceptions being Natural Elegance and Cutie Mark). Beast type makes total sense to me, and from the scene grabs and descriptions in this thread it doesn't seem like they do anything that a Drake (the gold standard for any beast race) wouldn't be able / allowed to do.
Feats: Cutie Mark Crusader: Why does this let them keep wounds as medium? I think it bumps the power level a little too high (without the wound penalty, Small is actually pretty big advantage), and it just doesn't make that much sense to me. I'd take it on almost every character of this species (which is my personal alarm bell).
Sea Herd strikes me as a little too potent, but it's effect is hugely campaign dependant (so I'd be happy to let it go). The big problem is that with Lead it is functionally a full secondary movement, and a really high one at that.
Sky Herd is like a 3.5pt feat (a little too good) - I say reduce the base to 30ft if you want to keep the size advantage, but personally I'd say remove that benefit entirely and keep the speed where it is (I can't see any reason why they should have the size benefit, to be honest). Again, this to me is a total go to feat - a single feat that gives you excellent flight is unseen in the basic rules (the next closest is 2 feats deep and costs an action die).
Uni Herd: Not a problem with the feat, but I would change the wording so that it's a Natural Spell. It make it clear that no spellcasting roll is needed, or spell points spent, and more importantly - it gives you a caster level (which would be my first question about the feat). Unseen Servant is pretty mellow, so I have no problems with multiple casts, but given it's got a multiple hour duration 1/Scene is probably plenty. As a bonus, with Natural Spell: Unseen Servant, you could consider bumping Uni Herd. Maybe always count as having a doctor's bag - since Unicorns are depicted as excellent/natural healers in mythology.
Uni Lead: Teleport I is a iffy without a caster level. Natural Spell solves that problem (as above). Also consider changing it to Dimension Door - it looks like it does closer to what you want and you might not need to reduce range (1000 ft could be too much though, given you only want the 250ft range). Also 1/Scene (from natural spell) is probably more balanced then AD/Session.
Celestial Royal (Class): Knowledge or Power is inspired. I'm gonna tuck that away in my bag of tricks for use later.
Royalty of All Herds, Regal Bearing, and Marked to Lead all look totally fine - no problems there at all.
Elegance Personified is fine in the core game, but if you have any feats or abilities that key off appearance mod then there could be problems (imagine Bloodstain Resistance on a character with a +15 Appearance Modifier, or a character who instead of 2-5 times per session can do something 3 or more times that often).
Ruler of the Celestial Herd is a cool ability, but I'd consider giving it a secondary benefit that means that it makes the scene it's used in Dramatic. Just so the player can use them when they want to / when they think it's important.
Hopefully any of that is of use to you, and again - just speaking as a powergamer, not as a fan of the show.