[Eurytus]

I am new to this board so apologies if I am rehashing old ground but I always thought that the fact that the Balrog had physical wings (as opposed to wings of shadow) could be demonstrated as wrong by a look at the what we can calculate about the size of the Balrog and the size of the wings.
Basically the Balrog could not have been much beyond 14 feet tall and the wings would have been somewhere approaching 100 feet wide. The ratios don't work for them to be physical wings.

But wings of shadow, fine.