It may be for control, not just power. Though if you could just power your cell phone with your head, would you really bother carrying around a battery for it? (Well, okay, for a cell phone maybe, but that's cause you might want to hand it to someone.)
Ones for earth ponies or pegasai probably would use magic gems though, yeah.
I doubt they'd need it for control. If they attached the nerves to the servo control switches, she'd be able to work it like normal. (my uncle and I are actually discussing bio mechanical interfaces for prosthetics. I can't wait until fully functioning prosthetics becomes a real thing.)
True as well. It'd need a lot of tiny sensors all over it, which can be programed to send signals themselves. Over all, with all the servos, the battery, the computer and programing, and all the sensors, packed into a tiny space like that, is not going to be easy to design. And built today, would cost as much as a fighter jet. But I think we'll see it happen here in our generation.