I've seen it in boards and the Wiki article on Okami (not in the list of characters page, though, to make it weirder), and it baffles me so much. Yeah, you're right, the ones from the Moon Tribe don't have those wings: it's long, straight hair that would be normal if it wasn't blond. There are other differences, like the lack of halo, and we never see the green thingies Kaguya has in her head on any Celestial. Besides, the game separates the two races very well in meta (we never hear of Lunars being gods, we never hear of Celestials having technology), if you're paying attention to details, so it's not like Lunars are a group of Celestials or viceversa.

I think the blond hair was what confused them the most, because they're also confused about Kaguya -who lacks a silly winged hat. To be honest, I wouldn't be surprised if Waka confectioned that hat to be able to fly at will like a Celestial, but it's still not natural XD

/tl;dr :P