You have to remember that not every "humanoid" creatures with wings and white skin are suppose to be "angels" or "fallen angels". Think about this, if that was a fallen angel, why did it ran away instead of "killing" or "magically" removing the memory of those two adventurer and took the camera. Angels after all are magical creatures good or bad. Second, angels and demons are 'ethereal" creatures. Means they dont have to be corporeal( have flesh) in order to exist because they are "spirit" creatures. Third, who gave people notions that "angels" have wings? The only ethereal creatures with wings are the cherubim and seraphims, both are not angel but another heavenly creature. Angels dont need wings to fly.
just saw it and heard it, I speak catalan as do the people on the video, but their tones and "surprises" are a bit "exaggerated" (the way the talk and express themselves), so I am not sure how real this is! (and if it is real, it seems they are faking a bit their fear and surprise!)