Now that I think about it, the face-paint theory makes sense with the whole "leaping into buildings" thing. Since I know Balrog was intended to be part of a race of soap-bar creatures (there's some beta screenshots of it or something idk but there's more than one Balrog in them), perhaps they at one point decided to stand up to the Demon Crown, and Balrog was the leader or just one of their greatest fighters, like a guerilla unit or something. And when they tried to defeat the crown and failed, Balrog was enslaved and the rest of his race killed.
or something like that, idk. Just random thinking.