My Little Pony: Friendship is Magic - Image #185,092

Totally platonic.
And yet Lyra is still blushing.

@Corpsolian
But we saw Rarity get her horn filed at the spa during "Green isn't Your Colour" (holy shit, I knew that off the top of my head. I've been doing this too long). Anyway, there is no way she would let that happen if there was skin over them.
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My thought: unicorn horns are traditionally supposed to be made of a special material called "alicorn" (which is where the pegasus/unicorn ponies get their species name). The alicorn in the horns would be what gives them their magical properties. If they were made of normal bone, then anything with a skeleton would be able to perform magic. The simplest answer, then, is that alicorn contains some sort of pigment of the same colour as that in their fur. Incidentally, this does not eliminate it as an erogenous zone. Perhaps alicorn provides the unicorn with some sort of magical empathy which responds to high emotions. Placing it close in another pony's mouth puts it close to the brain – where emotions occur – and the sexual nature of the act implies an intense feeling of intimacy. Put all that together, and you have a very aroused unicorn (and possibly their partner too, if the spell works both ways).