No they do not. While the majority of them and their stories have been bad, a few have actually been really good. Now, many of you are probably saying that if there's an Alicorn OC, it's some self-insert wish-fulfilment sent to Equestria to either
A) Hook up with all the mares/stallions
B) Going there just to rule Equestria from the evil tyrant, Celestia
C) Being the hero and whenever he/she does something wrong, it's always right.

Now, those three really make me regret making an Alicorn OC, but are all of them like that?
The answer is no.
I'll use the ones I have for an example.
Crimson- While he shares a few of my ideas and beliefs, he is his own character. He's not going around looking for some power to rule Equestria nor is he wanting to get all the mares. For him, he just wants to serve his king and tend to his farm. A more, down to earth type of Alicorn. Like many others, he had greatness thrust upon him, but never changed who he was. Even when becoming a ruler, he was still the same stallion he always was, never caring for gaining power.
Death Strike- He's basically Crimson's opposite. Death prefers to gain all the power and rule over everything. Only thing standing in his way is Celestia, Luna, Twilight, Cadance, and the Imperial's. Death can take on hundreds of enemies at once and not have much trouble, but even he has a weakness. His arrogance, just as with many villains, led to his downfall.
Deceit- An Alicorn that was once very loyal, but later betrayed his king when thinking he should be the ruler. He has a somewhat mixture of these two. His good side close to Crimson, but later turns more into Death.

Now, while they may sound like Stu's, have you really read about these three? Their power is like a twig compared to the power the four Equestrians have. While Crimson studied under both Celestia and Luna, he still can never win in a straight up fight, so he uses what he has to last as long as he can before losing. Death may have power, but should he face Celestia, he would be broken into nothing.

Yeah I know. Sounded like a lecture

4067242
I've tried my hand at making an Alicorn OC - Cmdr. Gallant Charger. I've posted a thread for him here and a slightly more in-depth look over on the School for New Writers' OC thread (he's somewhere on page five).

I like to think I did...okay with him, but I can't escape the feeling there are some massive Sue traits staring me in the face. Do you have any advice for me, Darth?

4067979 I like your idea. New nation, new guards, new everything. Mortal Born Alicorns seem to be different. Long lives, but not as long as Celestia and Luna.
However, I don't see much weaknesses. A character needs weaknesses. Remember, Death has arrogance just as any villain, but there are also some that I'm still working on.
Maybe think of some weaknesses and not 100% successful from the start.

4067992
He'll have his share of plot-relevant problems, and if he turns out popular enough for a series I have some spectacular failures planned for him down the line. That said, I'll also think about adding some more obvious setback traits.

I should also point out that I've skimmed over a lot of development stages for his character in the blog posts, to keep them a readable length and to avoid spoilers should I ever get around to publishing some fics about his past. If you're interested in him (which is entirely optional), I can PM a more in-depth and spoiler-heavy version of his backstory and character setup to you.

Thanks for the advice.

4068011 remember, when doing blogs or threads on an OC, even if people want short, there are times long is better.

4068021
I'll bear that in mind. Thanks again.