Sephiroth and his wing started in FF7 at the final battle when you first here the song "One Winged Angel". This song was for Safer Sephiroth because if you look closely you can see that Safer Sephiroth has an arm and then an arm/wing. Then he has his tenticale things.
In FF7AC after Cloud omnislashes Sephiroth and he says "I will never be a memory" and then raps himself in his wing and disappears.
Also, a "One winged Angel" represents the fallen angel (evil).
As for why Angeal has a wing???