Lore Bit:
Valkyrians do sometimes have the right genes to form tails, but they are exceedingly rare. Only certain clans with the right lineage (those close to the original bloodline) will even have a small chance of having the ability. The gene is recessive, and most times it will skip a few generations.
Tails provide a boost to flight endurance, maneuverability, and speed.
One such clan with this rare gene is the Imia clan, who, as you know by our favorite little shadow man, does have their fair share of rare tailed individuals.