The Demon Lord doesn't fly. He has about a 6 square wingspan. I just wanted to point that out.

He was able to fly in first edition.

maybe just an oversight ?

Maybe they just use them to fan one another.

Shadow Dragons don't have flying either... Hmmm...

Ever notice Chaos beasts look like potatoes? Just saying...

Cthulhu has wings, but cannot fly.

In fiction, Tolkien's Balrog had wings (although there is a debate about that amongst LOTR fanatics), yet he could not fly either. In real life, ostriches and chickens and turkeys have wings, yet they can't fly. There is a precedent for non flight wings. (I'm just saying ... )