With everything she's owned, everything easy to carry, Sunset Shimmer heads off on a train out of Canterlot.

There's lots of reasons why she's leaving.
There's lots of reasons why she's coming back. Eventually.

It's better to bow out of Celestia's School for Gifted Unicorns now, then later. It doesn't count as the greatest failure of her life if she choose not to play. This is a smart idea. She still has her dignity.

Good luck to that Twinkle Spark, she'll need it.