Scary thing? I can actually picture him doing this. It's freaking Deadpool for crying out loud. The guys completely batshit insane, I wouldn't be surprised if he decided to do this out of a whim.
I'm missing the joke, why does Deadpool want to be a magic girl?
It's kind of a running joke that Deadpool likes dressing in women's clothes. For example, he wanted to join the X-men and wear Jean Grey's old outfit. With miniskirt and everything.