I think you did a good job with creating the form with light and dark here, but I think you need some cast shadows. Not huge ones, just small ones, like on her horn from her hair, and one the back piece of mane from the bit of her mane going in front of her horn. Another thing that would be fun to experiment with it the shadow from the ursa. His shadow, since he has a low opacity, would also be low opacity, AND the color of the light that passes through him would me the same color he is, and that makes the shadow he casts mostly his own color. I say mostly because there are some areas on which the Ursa's shadow is cast where other light hits from the light source. Those areas would allow the overall color of the area where the cast shadow is to fade from one containing a higher percent of Ursa color to Luna's coat color. You don't have to give him a shadow, as it's one was to suggest the ursa is supernatural or of that likeness, but adding cast shadows on semi-transparent objects is a really nice touch, and creating the cast shadow accurately will actually emphasize the semi-transparency of the ursa.