Gandalf did defeat the Balrog, though he lost his body in process. Glorfindel in the first age also was slain, even though he defeated the Balrog. Balrogs have physical form, just like the Istari...so they can be slain. And it seems that Eru does not allow those evil maiar to return to Middle Earth again, once they lose their form. It is His will that allows Gandalf to come back. The spirits of the balrogs are either diminished so much as to be non-existent...or they are sent to the void, imprisoned with their master, Morgoth, until the end of days.
Sauron did not leave middle earth when he was slain, because his 'form' was effectively the ring. As long as it existed, his power and will was present. Once it was destroyed, and we see his great black spirit rise up to be blown wawy by the north wind...we can only imagine he has gone the way of those balrogs, either diminished or imprisoned with Morgoth.
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