In this storyline, Keldeo is no longer a Pokmon, when he decided to stay in Equestria and stay at Twilights side forever, a cutie mark (A Sword with a Water Stream) the ability of using magic were granted to him
So the Universe treats him now as a Unicorn and no longer as a Pokmon
Plus he could talk with the ponies from the very first time he arrived to Equestria, due to a Dimensional Crack (Caused by a Fight between Dialga, Palkia and Giratina)
So now he is capable of breeding, after two years since their wedding, Twilight gave birth a little alicorn foal, that get some of his traits from her and the others from Keldeo
Keldeo and Twilight named him Heaven Blade, and he quickly gained the affection of Celestia, Luna, Cadance, Applejack, Pinkie Pie, Fluttershy, Rarity, Spike and Rainbow Dash (who became his flight teacher)
He got his cutie mark when he was capable of improve his Aether Sword Attack (Using his own Light Magic)
Twilight instructed him about The Magic of Friendship, while Keldeo taught him fighting skills
Celestia and Luna knew that he would assume the duty as a Prince of Equestria, so they began to prepare the lessons and tests that he would face