Either way, it seems go stop following me around the times that Luna gets active; namely, night. Once I'm shacked up in my house, late-evening, it slips away. I doubt its heading all the way back to Canterlot, but I'm pretty sure those things are nocturnal. Which means that poor bastard is stuck sleeping at night; that, or Luna is spending her days watching me, which... wouldn't bode well for her. I think it's a lackey.