Safer Sephiroth has 7 wings. 1 where his right arm is meant to be and 6 connected to his waist.
Another Theory: That Wing flapped only for defying gravity, but I think that shouldn't like that -_-|||
Theory Three: Magic!
Sephiroth has 7 wings as Safer Sephiroth, and in Advent Children all the main characters can jump and stuff. Angeal and Genesis both actually fly with their wings, but maybe their mako treatments boost their wing strength, or maybe they have an invisible wing?
This is Final Fantasy, you DO NOT ask physics questions. They are ignored just for being ...cool
RULE OF COOL, that's how.