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I don't believe that the Balrog would refuse the order of Sauron, Sauron having been Morgoth's right hand.
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Believe what you want, opinions can be wrong. The balrog is underneath Morgoth. He had no obligation to Sauron, unless he chose to observe him as Morgoth's heir to the Dark Throne. The wills of Sauron and Morgoth did not control their subjects without choice. Their armies had minds of their own and only chose to follow such orders. Tolkien said that even orcs could act outside of the will of the Dark Lord and rebel. Certainly, then, a balrog - one of the same fundamental kind - would be able to stand up to Sauron.
Still, I see no reason for the balrog to leave Moria. As I said in the other, similar topic, he only attacked when his space was invaded.
[ March 11, 2003: Message edited by: Legolas ]