At this point I think the "their parents are dead" bit of speculation is pretty much true, and can add an explanation for AJ being more protective than usual. I just wonder if they'll actually make a real tearjerker episode about parental loss or something, Hey Arnold did it years ago and it was a real heartstrings puller (though granted that movie that never got made was supposed to give us some real closure on the subject… sucks Nickelodeon shot it down, along with "The Patakis").

I'm not going to actually expect it to ever happen, but it'd be nice if they did address the "where are their parents?" question at some point.

I feel that this unexpected overprotectiveness by one of the most daring ponies on the show is already grounds enough for that implication. I actually rather appreciate the way the writers are placing things so that it's up to the fans to draw their own conclusions, but just enough evidence to have all the pieces fit a bit too well for mere theory.