Jack and Goldie - I just love all this too-ing and fro-ing of ideas. I think its great fun trying to suss out why any animal does any behaviour.
I love your scratching thing, Jack. In the Broxhead Silver-studded Blue lek there is always a lot of scratching going on amongst them!
I like your ideas too Goldie. Keep them coming. Although I may now be convinced about why they do it, for me it is only a belief - I have found no published scientific proof that I have not been able to argue against.
Regarding balance though - I have seen a female firmly standing on the ground - no breeze about to destabilise it, doing the wing-roll rapidly and continuously for some while. I think without rolling her wings she would have balanced OK in this situation. Also I think the idea is that they roll their hind-wings to attract potential predators to that end thus allowing the butterfly to escape an attack should it occur. The reason why Bugboy convinced me is because I have seen this behaviour occur mostly when a butterfly has been in flight and then perches. If a bird had been stalking it while the butterfly was in flight, rolling the back wings for a while when first landing would distract the bird to peck the "safe" bits.
Nevertheless, I am always open to other suggestions.