It was a bit of a challenge figuring out how to get them to disintegrate like that. All I did was use the eraser tool with different shapes to erase tons of little dots all around them and make them look like dust in the process. I copied another layer underneath and warped it to enlarge the area of which they are fading away in. Didn't turn out perfect but it's good enough and conveys what is happening.
Click here to read and find out what is really going on: https://www.fimfiction.net/story/504432/flurry-hearts-story-dream-of-alicornication