Aerodinamics
Sorry if the word is not spelled right (I speak spanish).
But I have read enough about
birds and their way of flying as
principles of aerodinamics.
The general rule is to have a wing shaped so that the air below runs much faster than above.
Most of the birds and bats actually glide on the air and only flap their wings to start flight or change their course or altitude.
The smallest of birds and the insects flap their wings all the time to fly.
That doesn't happen with the great birds.
A vulture would glide almost of the time and has a really hard time to get off the air when departing from the ground.
What is this all about?
A
balrog (given his size) would glide, not flap his wings, or he would need to be extremely light or have a very different muscle system (after all it is described as man-like).
So it's no wonder if he couldn't fly inside a cave!
He would need a lot of room, a hot air current from below, and the chance to spread his wings (after all
Gandalf was battling with it) to deterr his fall.
The fall doesn't prove he didn't have wings.
And afterwards, when cast off the mountain, you could bet he was badly hurt.
I am for wings! They explain much more than they confuse, from
the Silmarillion to the LOTR.