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In that same passage we also get that "Gandalf flew down the stairs". Literal, unambiguous evidence that Gandalfs have wings.
They all had wings!
From Tolkien's essay Ósanwë-kenta, included in Vinyar Tengwar #39:
Never in the legendarium do we see a balrog change its form, and this is probably why - they weren't able to, and like their master, were trapped in their form of power and malice.
We also know that in early drafts of the legendarium, "Melko" specifically kidnapped eagles to experiment on because he was unable to replicate flight. That's part of why the flying wyrms were so surprising and devastating when he finally unleashed them, but balrogs were created long before, and we can easily conclude that, therefore, they were not created with wings.
(Also, if Gandalf could fly, he wouldn't have needed Gwaihir to rescue him from the pinnacle of Orthanc. Tolkien's legendarium isn't Dragon Ball Z.)
First of all having wings does not mean being able to fly. If Melkor experimented with several things it's possible he made winged Balrogs who lacked the ability to fly.
Secondly Balrogs are Maiar, Maiar don't have physical form, they are shape shifters by their very nature. Sure, some lost that ability at some point and became stuck in their form like Morgoth, but at some point they had that ability (otherwise they wouldn't have any physical form at all). Plus, not all evil Maiar lost the ability, Sauron remained able to do so until he lost his physical body.
Gandalf, like other Maiar in middle earth, is limited in what they're allowed to do due to their mission. But you should not forget he IS a Maiar, he existed before the physical plane and is not bound by it. He takes the form of an old man to help fight Sauron, and tries to not interfere because it's important that people save themselves, but he could have come in the form of a towering angelical being with working wings, it just wasn't what he wanted to represent.
Gandalf is strong wizard, don't need wings to fly when you're magic.