We know only a limited amount about alicorns, despite how important they seem to be in show. I honestly thought this would be a single entry, because of how little I thought there was. But when I wrote it all out, I was amazed at how much there actually is.

Just for completeness, what do we know from non-show sources about alicorns:

First off; Alicorn and Unicorn are technically the same name, but have moved into English through different paths. Unicorn comes to English from old French (unicorne), which got it from Latin (unicornus), which is from the old Indo-European roots of oi-no-kernu. Alicorn is the same root, but filtered through the Moors instead of the Franks, shifting the oi-no pronunciation in a different direction. Ali instead of Uni, which isn’t that big of a shift linguistically. English itself has undergone similar pronunciation shifts, even after the invention of the printing press which slowed down such changes. For example, the reason why knife is spelt with a silent k is because when the spelling was set the k wasn’t silent, it was actually pronounced.

Alchemists used a lot of stuff from the Moors and other more eastern cultures for their own philosophy, and developed their own creole-style 'secret' language based on it. They took the Alicorn word, and applied it to the mystical substance of the horn itself, rather than the entire creature; because that was the bit they were interested in.

As for Winged Unicorns themselves, they have been in mythology since at least the Assyrians (really, really, long ago). But then the Assyrians stuck wings on pretty much anything they came across. It was a 'thing' with them. Winged unicorns, winged bulls, winged cats, winged dogs; I’m sure there’s an Assyrian winged ferret out there somewhere, just because. The Assyrian winged beasts were all symbols of protection from evil forces, used on seals, as guards, etc.

The first known instance of Alicorn = Winged Unicorn showed up with Piers Anthony. Before that authors just spelled it out as winged unicorn, or less often a horned pegasis. If they bothered to call it anything more than 'unicorn' or 'pegasis' depending on whether the horn or wings were more important to the story at hand. After Piers, Alicorn became synonymous with Winged Unicorn.

Not sure any of that helps, but it’s information. Let’s talk about in-show:

There are five known alicorns, one of which may have been fictional even within the show itself. Celestia, Luna, Cadence, Twilight, and the unnamed princess who was affected by the love poison in the storybook within Hearts and Hooves day. I’ll start with the unnamed one, because she’s the one with the least information in show, but also points out some odd cultural idiosyncrasies.

The problem with Princess (I’ll call her that for lack of a better name), is that she’s not really in the episode. The book was likely written long after that individual was gone, so what we have is what the author and illustrator thought was true. The author says that she was a Princess, and the illustrator drew her as an Alicorn. If the illustrator was going off of the authors description, then possibly he drew her as an Alicorn simply because the author said she was a Princess. We've already seen that Princess Celestia the Alicorn was around for so long, most of it as the only Alicorn, the idea of Princess = Alicorn may simply be ingrained in all the ponies of Equestria, even by the time that book was written. It could go the other way around as well; if the illustrations came first it’s possible the author saw those and assumed because she was an Alicorn that she was also a Princess. So it’s possible that she was an Alicorn *or* a Princess, or both, or even neither, depending on whether the author and the illustrator were going off of personal knowledge or just copying down a story they had been told.

Interestingly, when under the influence of the love poison, it is stated that ‘A dragon came, a kingdom fell, and chaos reigned’. Which I have stated before sounds an awful lot like the rise of Discord. If so, this gives us a loose time frame for these events, in that it predates Celestia and Luna’s defeat of Discord. The kingdom mentioned may or may not be Equestria. If it is, then this Princess must have been the ruler of Equestria before Celestia and Luna. If not, then there are/were pony kingdoms *other* than Equestria out there. Possibly evidence that the Crystal Empire was much larger in the past, including more than one city?

The Hearth’s Warming Eve panto doesn’t mention alicorns beyond the image of what appears to be Celestia and Luna in the ‘new’ Equestrian banner. (For those confused by the word ‘panto’, it is a English concept. It’s a type of play specifically for younger audiences where audience interaction is encouraged; booing the villain, cheering the hero, that kind of thing. Where I grew up they were usually put on during the holiday season.) However, because that was a play it’s also possible that they just used the current Equestrian banner, rather than going through the effort of trying to dig up the historical one from over a thousand years ago. Not entirely sure I buy that, because I can't see Twilight letting that slide unless the banners were sprung on her at the last minute, or she was convinced by somepony else that the audience would react better to a familiar image rather than a mysterious one they've never seen before. However, if we assume the banner was anachronistic, it’s likely there were no alicorns at the time of the founding of Equestria. So Celestia and Luna occurred *afterwards* and likely the mysterious Princess was as well.