No, the note concerning 7 Balrogs is not in Unfinished Tales; it is in the Annals of Aman in Morgoth's Ring, HoMe X. The note states that 'it should not be supposed that more than 3 or at most 7 ever existed.'
It is nowhere stated that three Balrogs escaped from Thangorodrim (unless it be in the old 1930s material, but I don't remember any such specific detail). The passage in the published Silmarillion stating that 'some few' fled and hid in the earth derives from the 1937 Quenta Silmarillion, long before Balrogs had taken on their later significance, and before the 'host' was corrected to '3 or at most 7'.
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