The last set of wings has been revealed as Tracix wing, or wings that let you see the past. Pretty cool, in my opinion, but it seems totally irrivent to the whole "magic wings" idea.
Anyway, on the blog Una di Noi, the Site Admin answered Kikurukina's question (which might have been rhetoric, I don't really remember) "If a fairy has teleportation wings, why does she need regular wings?" It was answered with " I guess it’s like having both a car and feet. You’ll arrive at your destination sooner and easier in a car, but you could always walk. But why tire yourself out, some people ask? Still, old-fashioned foot-on-pavement work is healthier, and some people prefer it. Apply that to Winx Club: some fairies would rather fly, others would rather “zoom.” The Winx have only used the Zoomix wings in emergencies, when they have needed to get somewhere immediately; otherwise, they’ve used either the Speedix wings or their standard wings."
Check out the Tracix Transformation vid I found!