In Tolkien's Lord of the Rings, balrogs don't have wings.
And yet, balrogs look so cool with wings!
As Maiar, balrogs can change their appearance.
Might balrogs give themselves the appearance of having wings, just because it looks cool and intimidates and impresses people? Like Batman's cape? Without actually being able to fly?
Just a thought!
God loves you! Don't get too close to the balrogs^!
Sincerely,
David S. Annderson
^ or the crocodiles!