[Keeper of Dol Guldur]

I know, he said that, but he didn't specifically mean the shadow that makes up the Balrog's form, he spoke at a surname almost. A title: the shadow of Moria, the shadow of the Balrog. He referred to its evil nature and what it was, not it's physicality. Plus, how can a bat-winged demonic looking cold creature remind him too much of a balrog if they didn't have wings? They would have to look similar in shape. Otherwise he wouldn't have said it, because it's shadow was nothing compared to the balrog, simply a sillhouette in the moonlight, against a dark sky-not against the pitch darkness of Moria. The pro wing debate is still leaning toward winged balrogs.