There's been much debate lately after The Crystalling as to whether or not Celestia and Luna were born Alicorns or became them through magical means.
Celestia stated clearly that the birth of Flurry Heart, an Alicorn is something that:
"Equestria has never seen before."
Many fans have assumed she most likely means to say that herself and Luna predate Equestria, which would naturally fit the whole thing together. And it would have if the next line didn't take it all apart again. Luna clearly says:
"It is beyond even our understanding."
Now we'll think about that for a second. Celestia stated that Equestria hasn't experienced an Alicorn birth before, then Luna states that (in the context of the discussion) that the birth of an Alicorn is "beyond" even Celestia and Luna's understanding. That's why this part of the episode is getting so many fans confused about whether or not Celestia and Luna were born Alicorns. Personally, I want Celestia and Luna to be natural Alicorns since that would explain their higher power levels than Cadance and Twilight. If they really do predate Equestria and Flurry Heart is the first Alicorn born in that country, Luna's line would be a lie because they would know whether or not she was the first Alicorn born as Celestia stated. The fact that they don't "remember" their origins doesn't affect this at all because otherwise Celestia wouldn't have said that line.
Celestia - States something she "knows" about the history Alicorns and how they are born.
Luna - States that they don't "know anything" about the history of Alicorns and how they are born.
So who is lying? Luna's line suggests that she doesn't know that babies can be born. Is Luna an idiot?