he is too badass for 2 wings
In the original game, the final boss theme was One Winged Angel, because Sephiroth became a god with one large, black wing for an arm. In Advent Children, they wanted to use the One Winged Angel theme for Cloud and Sephiroth's battle, but they couldn't really use his Safer Sephiroth design so instead they gave him a black wing.
Actually, he had 7 wings in his Safer-Sephiroth-form, but nevermind. For some strange reason you just get one wing from Jenova-cells, probably because it is possible to fly with just one wing, so why get more?