Yep, definitely a wing.
During the stride part of the animation she has no wings, and when she hits the pose they magically appear.

Recently @ Dhx:
"Rarity is a unicorn right? So is it ok that I just copy/pasted Twilight's object class and changed the colors/mane?"

"Yeha, did you make sure to remove the wings?"

"I think so…?"

That's an embarrassing mistake to make…