A family of pegasi flew through the sky, shredding the clouds to nothing in their wake, as they wheeled and laughed in the torrential rain, and the thunder that rumbled around them.
I personally think that the commas mess up the flow a bit. The last comma especially, as it disconnects the rain from the thunder as two things that they're wheeling and laughing in. Maybe:
"A family of pegasi flew through the sky; shredding the clouds to nothing in their wake, they wheeled and laughed in the torrential rain and the thunder that rumbled around them."
Her flight tricks has never failed before, and even if they had, her family would catch her.
"Her flight tricks have never failed before..."
Everything else was fantastic. I thought that the tense shifts made perfect sense in that narration style and that the writing in general was very solid. Are you going to expand on this?