Legolas and the Balrog

[The Saucepan Man]

Gandalf, Aragorn, Legolas and Gimli all should have been aware of its presence in Moria, right?

Why? Even assuming that the Dwarves knew that Durin's Bane was a Balrog, only Gimli would have been aware of the possibility. But he was pretty keen to go through Moria, so that seems unlikely.

The pass that Bilbo and the Dwarves took over the Misty Mountains was, I believe, closed to them. But, had they known that a Balrog was in Moria, you would have thought that the Gap of Rohan would seem the less risky option.