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I figure that Pegasus Knights probably go through significant training in ground fighting before they're issued a pegasus. If they do survive a fall, or are caught without a mount, a little armor is better than nothing.
Also worth noting is that the armor they wear is not very thick, and probably not very heavy: you don't need much to stop an arrow at the top of its flight, which is good because there's only so much that a pegasus can carry (this last is why the Pegasus Knights only recruit women of relatively slight build: they're lighter than men). But although their armor is light, it's too restrictive to put on the pegasus, which becomes the point of weakness: a 200-foot fall will kill you no matter how much armor you're wearing.
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