Gandalf's Staff

[Kuruharan]

But if Gandalf meant to break the Bridge all along, why the speech?

There are a few possibilities.

Such encounters may require the participants abide by the Marquis of Oiolossë Rules, which stipulate that formal introductions must precede the commencement of hostilities. The Balrog's failure to abide by these injunctions may have been part of the reason for his defeat.

On a more serious note (if looked at from a certain perspective) Gandalf may have been stalling for time to gather energy for his blast (note all of his huffing and puffing about immediately prior to the incident).