I just thought of something, and I don't know why I didn't think of it before. During Dolores, i, Rully (one of the kids Radium "raises") calls the wings a generator, and questions whether or not it's for vector traps, which is (indirectly) proven a few moments later when Nohman uses Zero Shift (explained in the series as using a vector trap to compress space and move at near-light speed) to attack one of Radium's other kids, Rebecca.

So, whether or not the wings would be shut tight or shrunk, I don't know, but I imagine they wouldn't be.

One thing that boggles my mind: when Jehuty turns to V2, didn't its skirt blades detach to increase the size of its vector trap? If yes, isn't that what allowed it to Zero Shift? If yes, then my mind still boggles with Anubis' wings; if it didn't have Zero Shift, the wings wouldn't make much sense, since it would be them that enabled it. However, it wouldn't make sense to have a wingless Anubis suddenly pop more wings just to have Zero Shift.

If that's not the case, then my mind will stop boggling and I'll be able to see Anubis' wings as nothing obligatorily related to Zero Shift.

The wings might also be some type of flight stabilizer. Aumaan Anubis didn't require the wings to Zero Shift, but (and this is just in my opinion) its normal flight seemed slightly slower than regular Anubis.

Right on man. 8D Jehuty is somewhat "sissy" when compared to Anubis.

Not to mention that even Anubis' design is made to look more like a badass - a villain in other words.
...might be becouse of the colours too. Red is pretty aggressive.