: 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.

I don't think that that is quite the case. When the dwarves fought at Moria Dain saw the Balrog so it was known that there was one there. The Valar didn't interfere with Sauron why should they interfere with one Balrog? The elves hated Moria and would go nowhere near it if they could help it so it didn't have to worry about that. It seems to me that if an orc can set up his own kingdom then it should be easy for a Maia to do so. IT might have feared Sauron, true but I think that it could have established a kingdom in secret because Sauron doesn't seem to care about Moria.
Thentaran