Because he doesn't need them to be cool, dude. Just like the Balrog is already--- (swoooon-- ooooooo, he's sooooo---) HOT.
(drumroll) Why... does... the... balrog... have...
(HAH!!I'm not going to ask about WINGS!)
....curly ram's horns?
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...down to the water to see the elves dance and sing upon the midsummer's eve.
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