...it seems that he SHOULD have, and knew it.  "'A Balrog,' muttered Gandalf. 'Now I understand.'"  It sounds to me as if he had forgotten this detail, which he doubtless should have known, and known that it had NOT been destroyed, nor had it been driven from Moria.  History certainly had to have recorded WHY the Dwarves were driven out of Moria, and the Dwarves themselves would certainly have made much of it had the thing been defeated or driven away.  Yet the memory of this has faded from ALL records in Middle-earth -- no one seems to remember it until the Balrog is mentioned.  Not Gandalf, not Aragorn or Gimli -- all people who certainly SHOULD have been aware of this.  One would think Elrond, being a master of lore who has been in Middle-earth since before the time of Balrog's wakening -- would know about it, but he does not warn the Fellowship against that particular route.

Now, you can look upon this as a possible flaw in the original construction of the story -- something Tolkien hadn't planned to put in there and therefore did not foreshadow properly.  Personally, I prefer to look upon it as a good example of the diminishment being in a mortal body places upon the Wizards.  Gandalf appears to have known about the Balrog, but he simply FORGOT.  He is as susceptible to that mortal foible as anyone else, because of his current condition, and in this case, it exacts a terrible price:  I brings the Fellowship in danger from a dreadful enemy, threatens the entire quest, and the price of that mistake is Gandalf's own life.  He forgot something he should have remembered, and it is now up to him to deal with it.  Yet in the end, the mistake provides an avenue to the success of the quest, for if it had not happened, he would not have died, and would not have been sent back as Gandalf the White, stronger and better able to deal with threats such as Saruman -- another problem that must be dealt with, or the quest will very likely fail.  However Tolkien came to it, by planning or by writer's luck, it became a very interesting plot twist, IMHO.