This is pure speculation of course, but the way I see it an alicorn's wings may actually be for more than just show. Yes, Twilight is capable of levitation and teleportation magic, but I would imagine it would use up a lot of magic and drain her energy pretty quickly if she used it to fly for any length of time. It may be more advantageous to have wings as backup in the event an alicorn is fighting some type of villain. If they were using all their magic to remain airborne they couldn't focus their attention on launching attacks. In other words, it's actually more practical to have both.