My first impression here is that you're almost there with giving a convincing form to Fluttershy, but this piece is not quite there for realism as it is not something I would confuse for a photo of a toy just yet.
IMO, it may be useful to go for a shading style resembling this photo I just took of a closeby object:
You can clearly see highlights, midtones, and shadows. As far as I've figured out shading, highlights show up in places angled in a way to directly bounce light like a mirror to your eyes, being brighter than the midtones. Midtones are lit up by the light source directly, but the light gets to your eyes by the surface scattering light around. Shadows are places that are not lit by the main light source, but are lit up by reflected light.
Main reason why I would go for a simpler shading style with a clear shadow, midtone, and highlight is to avoid being so precise with pony form that IMO it starts becoming a bit strange to look at.
The semi-realistic shading here is also clashing with other non-realistic symbolic shortcuts, like the outline for eyelid, slightly visible outline around Iris, dot for nostril, strokes used for hair and feather wings. Full-on realism has none of those shortcuts; many of them make sense for the original cartoony art style from the show by not trying to be realistic.
If you have heard of reflected light before, do not underestimate it. I like to think of any visible object being a light source. Anything that's visible is obviously capable of bouncing light to your eyes - light that can potentially light up objects. To add more life, you can consider adding some pinks on areas that is very close to Fluttershy's mane, and adding a bit of yellow on areas of her mane that is close to her coat. Doing so will also help unify your colors so everything will appear belong with each other more.
I think the highlights in your eye can be much sharper and more visible. I find the large size of the pupils are a little uncanny without highlights.
As for hair, that is pretty difficult. I personally don't do realistic hair myself as I use my own shortcut, but here's something that might be useful to know. In an oversimplified nutshell, hair is a bunch of light and dark lines. You kinda kept the show-style shortcut for hair by leaving in the fat lines in her mane, but that shortcut only works for line-work. Realistic styles will need a more realistic style of hair (unless, you wanna draw a realistic looking toy ). Those lines could be read as a shadow, but the form of the hair does not let those lines be read as a shadow so they end up looking like Fluttershy added some dark highlights in her hair.
I also have a strange feeling that you transformed a vector during the process of this work. I can see a very, very faint outlines, but a more glaring example would be the outline to the eye from our left. If you did transform a vector like this, little observations like that makes this a little more difficult to appreciate.
While I'm pretty sure you have read my guide on noses, I think there's something you ought to look at: [link]
I'm seeing a nose that's slanted, but probably not in the way I mentioned in my nose guide.
Overall, I think this piece should either go for a less precise shading style, and should find ways to not use the symbolic shortcuts I mentioned earlier. You seem to get the gist of shading as I'm almost impressed with your shading for her head, but it's not something I would personally confuse for a photo of a toy just yet.