I don't think of them as immortal I just consider them to age longer than normal ponies.

Yes I agree. Me too, but it was easier to use the word "immortality" in the title.

Probably both

Indeed, but I'm curious of what you people think, which feeling dominates more.

Being immortal is a good thing sometimes, but when you turn evil and it's impossible for you to die...that's when immortality backfires.

Depends for me.. Can you 'get' killed, like lord of the rings elves. Cause with Immortality, there are times you may want too.. See enough depressing stuff, and.. Yeah

Agreed. and all the ones you love grow old and die.

I can imagine there are times where they see it as a curse (like you said, they've probably had a lot of friends they've outlived) but I also think they'd be the types who would be able to look on the bright side of their immortality/long life spans too. They've probably enjoyed watching Equestria grow and develop over the years, and are proud of their subjects and students (especially Twilight!) so I think all in all they enjoy their long lives.

The good thing about them both having these immortal or long lives is that they still have each other. They probably found it harder (especially Luna) when they did not get along, and since they reunited that has probably helped them a lot!

I would assume that it can double as both a blessing or a curse. I mean, they don't die as quickly as other ponies. However, they have to lose their friends that aren't as lucky along the way.
Recently, I came across this song that relates to the topic, if anyone wants to give it a listen:
link