Neither Gandalf nor the Balrog could really be killed, in spite of Gandalf implying it, because they are both Maiar, the powers of the world, and their existence is bound to that of Arda. To kill them, Arda would have to be destroyed. Same goes for Sauron, even after destroying the One Ring. They're all indestructible in the same way that a planet is destructible.

Gandalf being sent back ("I was sent back") is an act of keeping the events in balance, not Eru intervening so that good would win, because in the end, even with him doing as much as he did, everybody loses. Gandalf knew this full well, and that is why he did not want to go to Middleearth. He was afraid. He did not want to go stop Sauron. Manwe ordered him and the other four Istari to go anyway and the other Valar backed him up in his decision.

Even if you take the position that Eru intervened, there is always that moment when Eru Illuvatar tells Melkor "know that nothing you do will ever be without my will and intent of you doing it".