Okay... when you fight Zelos (if you choose the Kratos route in Flanoir) he has bright yellow angel wings... but he never had his Cruxis Crystal equipped until the meeting with Seles, which was only 3 or 4 scenes earlier. Colette got her wings in a blessing from Cruxis upon reaching the first seal, at which time she had her Cruxis Crystal equipped. Zelos didn't go on a journey of regeneration, and thusly had no blessing from Cruxis, and thusly should not have wings.