I've been wondering that myself. It's pretty inconsistent, but I think it's because they gave Celestia "wings" (her dress feathers) so they gave Luna a horn. I wish it was incorporated into the design differently tho. Maybe making her crown resemble a horn a little more, kinda like how Pinkie is wearing a pony ear headband and Dash is wearing pony ear goggles. Rather than just having a horn coming out of her head, you know?
EDIT: I was looking at the official Kotobukiya blog, and there was a post going over the design choices for Princess Celestia's figure. They actually included an explanation for the horn!
"You might be wondering, 'Why does Princess Luna have a horn, but Princess Celestia doesn’t?' They both have it on their pony form after all!
We’ve mentioned it in the previous introduction for Princess Luna, but there’s a reason for this! Princess Celestia, along with the Mane 6 girls, is supposed to be familiar with transforming into their human form. Princess Luna, on the other hand, is not used to it after 1,000 years being alone, so the design incorporates the idea that she would forget to hide her horn when transforming into a human. It is through this sort of reasoning that creates the concepts for the BISHOUJO designs!"
(
https://en.kotobukiya.co.jp/kotoblog/mlp-bishoujo-princess-celestia/)
Sounds like a bit of a last-minute cop-out explanation but I like how this adds some...lore to this series. How these human versions aren't the ponies from another world like in Equestria Girls, but actually the ponies themselves transforming into humans...and they do it regularly? How long have they been doing it? And it's only started happening after Luna got banished to the moon? I know I'm putting more thought into it than they ever intended but I want to hear more about this implied lore, haha.