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Why not fly up safely if they had a pair of wings available?
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Penguins have wings and they can't fly, flamingos, Ostriches, and Emus too. But, other then that a very well put together argument

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Edit: If we are speaking "literally" that the Balrogs indeed had wings of "shadow" then, I don't see much use of being able to fly if they're wings of shadow. Shadow could mean two things, you can take it literally and thing of shadow as "dark cloud of smoke/shadow" or you can take it figuratively and just mean, "darkness."