I have looked through HoME 10, 11 and 12 which have later writings and so far I have found no futher reference to amour for Balrogs. It may be that most of the images use later views which do not mention either the 'Claws of Steel' or 'Iron Amour'.
I know that my own image of the Balrog (from when I first read LotR) was powerful, demonic and simply covered by shadow. So armour is the last thing I would expect