I have a little self explanation going on with the shadowbolts.... that they were Luna's guard before NightMare Moon, and as she got corrupted, they fell into her darkness as well, becoming a part of her through them.
Now that the NightMare forces have been pushed out, they regained their original forms, as pegasus, and still serve Luna to this day as her elite guard.

Pictured here are Camrian and Nixia. Captain Bexar, the third shadow bolt isn't pictured here.
They all bear cutiemarks that depict the crescent moon in a shield.