Arent like all the peps who have wings only have one. Like in ff 7: crisis core. Angeal only had one wing. It may be because they're only half dead or somthing? I dont know x
Sephiroth, along with Genesis and Angeal, have been infected with Jenova cells, and have had their cells altered a lot by scientific experiments done on them. This triggered a large mutation in all of them, giving them extra powers, furthering their aging, and giving them alterations, like growing a wing.
Sephiroth's wing-design also stems from his Safer•Sephiroth design in Final Fantasy VII.