I might also point out that the Balrog had been hiding for thousands of years and might not want to call attention to itself after so long. It might fear that if the Elves or even the Valar discovered its existence (through reports by dwarves or visitors to Moria), they would hunt it down and destroy it.
As for setting up a kingdom of its own, it may not have had the knowledge how to do so, or it may have been more intelligent than it seemed and have feared a reprisal from Sauron if it tried to establish its own power.