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Actually Morgoth could not have given Balrogs wings because, as Maiar, they chose their own shapes. The question then becomes, why would they give themselves worthless wings when they could have, just as easily, had wings that worked?
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There's no reason to believe that Morgoth
couldn't have given them their forms. That Maiar created forms for themselves was not an
axan, just generally the way it happened.
If Balrogs were anything like the John Howe conception, I think it is pretty unlikely that they made themselves look so horrible. After all, they weren't created evil, and originally loved the light. Also,
if there was one specific Balrog shape, I think it is more likely that Morgoth fashioned the bodies for them.
The books speak of dark "gifts" that Melkor gave to those who followed him, and I believe that they were gifts of those things that were meant for Incarnates, such as food and sex. It jives with the biblical account of the origin of demons--there are quite a few biblical models for Tolkien's writing. Obviously, this rebellion doesn't immediately make them into huge ghastly beasts. If they chose their own forms in which to partake of these gifts, I do not doubt that they would have been impressive and even beautiful. It is only in time, having nurtured evil thoughts and perpetrated evil deeds, and when their forms began to become more than mere raiment, that Maiar lost their ability to appear fair. I don't think this loss would have resulted in the giant, horned, winged monsters that Howe depicts, as glorious as Howe's paintings are. Instead I always imagined Balrogs as tall, impressively built humanoids with an aura of darkness that reflected the corruption of their powerful fea inside. The bit in FotR when Gandalf is on one side of the door and the Balrog is on the other is giving me chills right now as I remember it.
Anyway, I think that it suited Melkor's purposes to have his servants incarnate, and he intentionally made them so. Whether this included creating their forms for them or not, one can't say for sure. But it was possible.
I also think it's silly to think they would've given themselves functionless wings, Esty. :P