I am curious about why there are wings attached to the magjack for the Ethernet.
Other RJ45 jacks without magnetic don't have the wings, but most RJ45 jacks with magnetics inside have them.
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"Other RJ45 jacks without magnetic don't have the wings". I think you're judging from [too] small sample. Look at TE's catalog to see a whole bunch that don't have magnetics but have "wings". So the two features are unrelated as features, but correlated due to price because MagJacks aren't the cheapest RJ45's (in fact they are advertised as the "flagship product-line"), so they come with all the other good bits, like shielding.
By the way, these "wings" are called "Panel Ground Tabs", or at least TE calls them that; Molex calls them "Bezel Ground Tabs". And their purpose is to ensure a good high-frequency short-circuits between the (shielded) connector and the panel. At high frequencies it's not enough to have a single ground connection. The more, the merrier. Also, in a fairly typical setup, only some of the tabs will contact the panel (e.g. just on one side), so having "backup" on all sides is preferable. Now, of course, if your panel/bezel is made of plastic, these tabs are pointless. So most manufacturers (including TE or Molex) offer their parts in variants without the tabs if that's how you want them. And even Belfuse has MagJacks without the "EMI tabs" as they call the "wings", for example this one, which I found easily thanks to the fact they even allow you to do a parametric search of their catalog based on the presence/absence of these tabs:
The connector is designed to provide a good high frequency connection between the sheild of the cable (if any), a metal case (if any) and the sheild ground connections to the PCB. In my experiance connectors in ethernet equipment usually have a metal shell to support shielded cables regardless of whether they are magjacks or not. The exception being some really bottom of the barrel equipment.
I guess once you have the metal shell to support connecting to the shield on shielded cables adding the wings has negligible extra cost. Even if in some applications those wings don't actually end up connecting to a case.