Of course, William wasn't so heartless as to forcefully pluck all of Luna's feathers just to make a fan. That would have been a bit excessive.
"If any fall out, I'll give them to you," Luna pouted, genuinely afraid that William might abruptly force her to reveal her true form and then start plucking her feathers.
Shedding feathers wasn't an all-at-once affair, where they would all fall out and then regrow immediately. It was normal to lose a feather or two occasionally, and Luna figured it wouldn't be too bad to collect these and give them to William over time.
William's idea of making a fan was more of a sudden inspiration, not something that he necessarily wanted to do immediately.
"You keep them for now. By the look of things, you probably often trade feathers for food."
"You're the one who trades feathers for food," Luna retorted, now bold enough to talk back to William after a couple of days of interaction.