Pegasi and darkbolts will only fly somewhere if they can walk there, so if they derp onto a wall they're stuck. You just have to build ramps. When I get round to doing the Traditional/Simplified fork, simplified will have non-flying pegasi.
Ultimara's running rainbownies, the combo platter that includes diomedian and cave ponies. Cave ponies fill the niche dwarves usually do, and are based on underground creatures, which is why there are slippy ponies(eight legged webbers), big draltha ponies with huge manes, and tusked gorlak ponies.
And shit, I just thought: Should have done a Christmas add-on with a reindeer civ.