Since Glaurung was the first Dragon, he could very well have been the only one without wings. Morgoth could have been "perfecting" his breeding techniques after Glaurung was "spawned/born," making the Dragon a sort of lab experiment. I think that Ancalagon and his squadron were the Dragons that Morgoth really wanted in his armies, because they caused th emost devastation, so, naturally, he would have bred more of those.
It is quite possible that Scatha had wings, and it's also possible that he didn't. He could have been another one of those "lab experiments" that had managed to escape from Angband before it was destroyed.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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