So.........my entomologist daughter's follows up my email with the dress reconstruction with THIS and the comment that I find the weirdest things! Yes, I think we belong together in the same 'weird' box!
Those are technically "wings" but not its flying wings. They are the hardened covers for the membranous flying wings. The covers are also known as the elytra. Think of a ladybug's "shell."
The elytra used in the dress get their color from the actual structure of the elytra - it's how it reflects light. Jewel beetles have this kind of color. This is why the colors have not faded since 1888! They picked a good species to use. Other species have pigment-based color. Pigment-based color would fade.
The elytra are *not* shed. Only adult beetles have wings (they develop during pupation) and once they are adults, they don't molt so the only way you can get elytra to use for decoration is from a dead beetle. Hopefully, that's how they acquired those for the dress… although I suspect there may have been some beetle-cide.