Technically, if Avada Kedavra kills the soul, it will never work on the balrog, as its the same kind of creature (albeit a different form) as Sauron, and their spirits tend to be immortal. Sauron bound his soul to the Ring, which made it possible to kill him. But thats why Gandalf came back as the White, his spirit went back to the Ainur and they sent him back saying his task wasnt finished.
Anyways, it is correct, the balrog is a completly different foe that the whole of the Helms Deep armies, without Gandalf, could not have beaten. (You know, with Goblins it got rid of the Dwarves in Moria, including Balin. And before that, Durin the Deathless)