This raises some [more] plot hole questions. So Gandalf is cool with [apparently] giving ole 'Rog the business when his life depends on it or when it suits him. He's gimped... but not really. If it came down to it would he have offed Smaug? What's his stopping point? If a Balrog decided to not be content trolling away on some bullshit until he bumped into a sweet looking mark, and instead wanted to wreak havoc on the countryside would old man river intervene then? It all seems pretty subjective.
He is held back by his creators from using all his power to directly control the world of mortals. He can only advise and support where apporiate.
But the Balrog was of the old world and the old war, (it is a corrupted version of what Gandalf is) so he is obligated to stop it from reaching the outside world.
In other words he has to pull his punches for mortals, but ancient evil like the balrog is fair game.