This fusion would defeat the entire meaning of Cozy Glow’s role as a villain. She’s unique because she acts as a highly effective manipulator via the use of her intellect and exploiting her innocent image. She’s as deceptive as Chrysalis and as power hungry as Tirek, but she has to rely even more on strategy without any minions or overwhelming strength.
 
Plus, assuming Grogar even can open limbo to release the POS, combining it with Cozy is risky. The POS doesn’t seem like the strategic type that can follow orders(then again it lure Twilight and the rest to the Well of Shade). More like an entity that feeds off its host’s negative emotions with the one goal of spreading darkness and getting revenge.
 
It’s rumoured that some of the POS’ magic helped create NMM. It also wouldn’t surprise me if the Well of Shade was built during Grogar’s epoch of evil.
 
Personally I’d rather see the Pony of Shadows fuse/work with the Dazzlings in EqG. There’s actually a strong connection and a lot of similar experiences between the two.

@Stotter  
I know right

Need art of the Filly of Shadows.

@Backgroundpony
 
And to think this is basically a “not even my final form” situation.

@archestereo
 
@raakamagna
 
Given that Grogar could just non­cha­lantly power up Tirek to the state he reached after absorbing dozens of unicorns´ magic to the Point that he could steal pegasi flight again, Shows how much magic Grogar can spare.

@raakamagna
 
To be fair, Tartarus is basically a maximum-security prison with magic strong enough to contain the worst of the worst, and even alicorns can’t just go in and out without a key; just straight-up teleporting Tirek and Cozy out of there probably wasn’t as “low effort” as you make it out to be.

@genervt  
Don’t give Grogar any ideas.

@raakamagna  
Just imagine a monster with the intelligence of Cozy and the power of the Pony of Shadows.

Considering the Pony of Shadows is basically a mindless evil that feeds on the mental weaknesses of others, it would be tactically useless and Grogar already wasted lots of energy reviving Sombra. Bringing the Pony of Shadows or splitting the aspect of Nightmare Moon from luna is a somewhat fruitless task.  
Not counting Sombra, who once was successful in his evil, all the villains were selected in what seems to be low effort. Chrysalis was basically a depressed vagrant, Cozy and Tirek were in jail. Bringing a being back from the void is harder than just grabbing them.

Cozy Glow as an alicorn. Grogar could make it happen.

Cozy would be unstoppable.

He likely knows how arrogant all these others could get with too much power, hence him letting Sombra do whatever he wanted and when he predictably failed, just left him as an example.