I'm guessing that Vorlons appear angelic only when they want to. When Kosh made his appearance at the end of Season 2, he afterwards said that it was a great strain being seen by so many at once. That implies that it required telepathic action on his part to create the angel form. Since there were so many different races there at once, he had to project a different telepathic signal specific to each species, all at the same time, in order that his projection would appear to match each race. I'm guessing that Kosh's replacement (which many sources name "Ulkesh") wasn't particularily concerned with maintaining the angel projection, since everone arround him was trying to kill him. He was right pissed off and didn't care about maintaining an illusion to a bunch of 'bugs'. On the subject of Vorlons, I also get the impression that they are not pure energy, but rather are plasma life forms. Lorien on the other hand, with his abililty to take complete corporial form, then switch to the 'light ball', thing would suggest that he is pure energy in his natural state, but can switch from energy to matter, and take corporial form. Just my impressions.