[Nilpaurion Felagund]

If the Balrog's bodies were permanent during the Battle of the Powers, they would have not survived beyond that time.

Since they were some of Morgoth's best warriors, they would have been in the forefront of the battle, and they would have been slain by the Valar's warriors. If their body is permanent, they would have died with the loss of an incarnate form (cf. Saruman).

So, the body they used before the battle must not have been that permanent.

After Morgoth's return, of course, the bodies became permanent. Ergo, the truly dead Balrogs.