It is odd, now that I try several wings the results vary quite a lot. Dyes work fine like Jim's Wings, but Loki's Wings are completely unaltered by them (I am trying shadow dye, black and white dye, and burning hermes dyes for each) None of the Celestial Pillar wings work well, they are only slightly modified by the dye (and black and white dye doesn't work at all). Other kind of wings do work well with dyes, like bat wings, skeleton wings, demon wings, some other dev wings, betsy, fishron, hoverboard etc. Another one that does not work is the festive wings set.
Seems random to me, I don't know if it follows any logical pattern in your eyes. Oh and this happens with wings equipped in both or either active or cosmetic and equipped alone and not.
Thanks a lot for your time!!!