The compilation is somehow made of fail (dohoho), but since Sephiroth only appears with one wing (I'm talking about him human form, not Safer Sephiroth) on the compilation, I thought I would bring Hollander and his tiny wing into the conversation.
The purple "wing"/mutated arm was originally planned to be black, along with the 1st Class SOLDIER uniform, but the developers decided to change it to purple simply because they did not like how black looked on some of the character models.
The concept for the one black wing was already there in FF7, but the developers apparently disagreed with having Sephiroth come back with only his right arm completely mutated. It would also look inappropriate to have Sephiroth in his human form with a rigid Jenova wing popping out of his back.
The developers have also stated that during AC's production, detailed textures such as Nanaki's and Cait Sith's moogle doll's fur were generally too hard/time-consuming to produce, which is why those two characters have minimal screen-time. This reason might be why they decided not to go with bringing back the Safer Sephiroth form and settled with his humanoid form, just as Dissidia's developers decided to use a simpler Ex-form rather than the more demanding Safer Seph model.
The one black wing as it is in more modern productions (a black, feathered wing, instead of a mass of mutated Jenova) is just most practical. --- The unshorn poets of our age...there is nothing they sing or write so stupid that they do not ascribe to poetic license. - Cervantes