You don't have children, do you? I don't, but from what I've heard, children will really change your worldview in terms of the importance of your own life.
My problem with immortality is that you can't ever decide to die. There's no off switch, so no matter how tired you are there is no end. Also, immortality implies you have no need to eat or do anything, really. So it could be either liberating or hell depending on what sort of person you are.
I'm fine with living for a long time. Immortality means forever, and I don't want to think about what that might mean or how it would affect someone.
I find it hard to believe that the ruling sisters are totally invincible. Also the only consistent law of either universe seems to be that things change. Everyone dies. Dr. Who, Celestia...everyone. Having everlasting youth sounds awesome to me.
Wait... Luna was a pegasus? Well, i guess Celestia was one then, too... how the hell did a pegasus get to the afterlife and, the way better question, how did she get out again? And what the hell did Luna do? Sonic Moonboom? And, really, how does a pegasus pony earn a cutie mark for raising and lowering the moon? Soooo many questions... Hope you answer them soon.
This is based on the latest episode where Twilight is send into the matrix(not the afterlife) and meets Celestia who tells her she is ready to fulfill her destiny, aka becoming an alicorn. Since that episode people have gone crazy doing fanart of Luna and Celestia as younger mares, Luna being a pegasus and Celestia a unicorn, and that they both went through the alicorn transformation as well. I have to agree with you on the cutie mark though. To me they were born alicorns.
I prefer the version where this is purgatory. And i prefer the version where Luna and Celestia where just 2 unicorns who were twisted by Discord, thus creating the first alicorns. Seems like Dicords humor to me. "Let's just give this 2 unicorns wings and count, how long it takes until they stop crahsing into everything." However, this is not the version I would like to see in fanfics. It's just way too silly.
Although it's not hard to see where Luna's coming from. When I discussed Twilight's transformation I mentioned that being an alicorn, and by extension becoming near-immortal (which may or may not happene to her, I don't know yet), means that sooner or later, she'll outlive all she loves.
Immortality, in every work of fiction I've seen so far, has been nothing but a curse to all who have it, which is why I didn't lijke the idea of a character I liked, like Twilight, being subjected to it.
So kudos on giving Luna a really good cause to reject Celestia's offer like this.