To answer old questions, Sauron is
not more powerful than a balrog. He may have been
more evil, but that does not mean he was more powerful. He may have been great because he was evil, but a balrog would stomp him into the ground.
Besides, when was the last time you saw a balrog lose every fight it entered, with one of the losses being due to its own stupidity?
That is proof enough.(No, Gothmog wasn't being stupid when he was killed if I recall correctly.)
Sauron may have beaten Huan if he didn't pull any stupid mistakes like he did in the Tale of Beren and Luthien.
The nazgul were not immortal, they just couldn't die. They were like people who could get tired but could never fall asleep in a sence. Immortality is not like that.