Seriously, why are the Thestrals in the Dark Arts family? Thestrals helped carry Harry and friends to the Ministry in Order of the Phoenix and Thestrals also helped the Order get Harry from the Dursleys and to the Burrow.
They are heroes in the story, not evil.
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It was clear they struggled to find dark arts related foundables. Flesh eating slugs would be another example of not evil.
However, thestrals do have a relationship to the dark arts in that only people "who've seen death" can see them so people tend to avoid them. I think in some respects when Luna was talking about this she was referring specifically to violent or untimely deaths and not run of the mill, passed away in their sleep death.
Finally, according to Magical Beasts (I think) thestrals are described as appearing sinister or spooky.