Okey, let see: The Second Hall of Khazad-dum (where Gandalf faced Balrog) was great, very big and large and it was impossible that real wings were spread from wall to wall. But this, I admit, is true. Then, If Balrog was such gigantic, how he walked through dwarven-sized tunnels or rooms? "Orcs one after another leaped into the chamber." This is a description of entrance in Mazarbuls Chamber, where Gandalf first encounter Balrog (spell duel) and means that entrance was very small. How you imagine, Balrog with his gigantic wings will enter through this entrance into the Chamber?

: Second, the fact that the Balrog chose to engage Gandalf does not prove that he could not have gone around him. If you were confronting a group, would you ignore the commando armed with an assault rifle to attack unarmed opponents? If you did, you would likely be in for a very unpleasant surprise.

Yes, but it is Balrogs point of view, it is logical, but what if balrog decided to be a not so logical? Gandalf was ABSOLUTELY sure, that Balrog was unable to pass without bridge. Not balrogs thought, but Gandalfs tactics show us balrogs fly/glide unability.