It's snowy and cold and almost Christmas. To Sunset, it's just another day. She's never celebrated it before and has no idea what to do.

That is very strange considering Hearth's Warming Eve/Day is a thing back in Equestria, a holiday that, while clearly is only celebrated by the citizens of Equestria, is very obviously very similar to Christmas. Did Sunset just not celebrate that holiday?

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Nah. From what we know about her before she got friends, she focused a lot on her studies. So I assumed she didn't celebrate Hearths Warming