All kalphite are capable of flight, but its rare to see a kalphite flying. We can't communicate with the kalphite to find out why, but zoologists have had a punt regardless. The dominant theory is that, because the Kalphite Queen can transition to a flying state, the wings are seen as a sign of status. If you were to fly as a kalphite, you would be challenging the sovereignty of the Queen herself. Which would be unwise. Have you seen the size of her?
The other theory is that the wings are used in the mating ritual, which - you would hope - would explain why you, personally, haven't seen a kalphite flying.