It would be cool to have a pony as a pet, but they have the intellectual abilities like a human just with some psychical disadvantages to humans [but WAY more advantages to humans] so if they figured out that they were my pet they would wonder why I own them, they probably would object to that in a heart beat and leave and go find their own home to live in.
Having them as close friends however that want to live with me would be amazing, but they can't be my property.
I know, I kill the fun, but you know it would probably happen if you owned a Pony too.