I guess Cirno's wing disappear when she is not flying , defeated , or she decided she's not using them as she might control them at will
You're a fairy, Cirno-san!?Yeah.No wonder you seemed different from a human or youkai.And so—
*whisper*
Well, I'm a fairy, so I guess a mountain or river or something?...By the way, can fairies get stronger by training to begin with...?I don't know, but... well, she wants to do it too, so I guess it couldn't hurt.