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So why hasn't he seen Thestrals ever since then? Why does he magically start seeing them in Order of the Phoenix when he's never done so before?
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It's not a mistake per se but I think Thestrals don't magically appear or that you have to see them all the time if you've lost your parents. Also Luna was out in the open there, on Hogwarts grounds, where Thestrals are most likely to be seen.