On birds that have lost the ability to fly, the feathers have also lost much of their structure and become hair-like. On flightless birds, mutations degenerating the aerodynamic feather structure would not be as much a handicap as they would be on a flying bird. Therefore, natural selection would not eliminate them, and might even select for such degeneration. As usual, loss of flight and feather structure are losses of information , so are irrelevant to evolution, which requires an increase of information. And hairy feathers are adequate.
Downy feathers are also good insulators and are common on flightless birds.
Their fluffiness is because they lack the hooks of flight feathers. Again, natural selection would work to prevent evolution of aerodynamic feathers from heat insulators. But birds have a complicated system of air sacs, even involving the hollow bones. The hypothetical intermediate stages could not conceivably function properly, meaning the poor animal would be unable to breathe. So natural selection would work to preserve the existing arrangement, by eliminating any misfit intermediates.