Rydia!

[Omegakyogre]

It has far too many shades and they're coming from the center area of the hair. You can argue that it isn't exactly pillow shading, but either way, it still looks like it, and that's bad.

I'm not saying the sprite entirely looks terrible, it's just that one part.

I see no pillow shading. Perhaps some AA, perhaps it darkens around the edges, but A- that's the style; and B- You can tell the light source isn't the inside of the sprite.