The only way I can see how this can occur is if the skull of the valkyries possess a circular magnet and their halos are wide-temperature-superconducting bioluminescent dandruff-like substance that clump together to follow the circular region of optimal magnetic flux. Okay. Let me break it down.
Toroidal Magnetic Field of Optimal Flux
The skull of a valkyrie has a circular portion lined with magnetic materials that was evolved from the time they used to migrate from one side lf their world to another. Think of this magnetic skull as a supersensitive biological compass. Possible enough to derive such structures from mihratory birds since your valkyries are basically winged humanoids. The average magnetic field of these materials form a region of strong magnetism shaped into a circle that forms above the skull.
<PERSON> on Hair/Scalp/Feathers
Some of the cells found in the hair and scalp and feathers of valkyries glow after they are shed and mixed in with particulate matter like dust and dirt in the air. 671
It turns out that once these cells are shed, they became wide-temperature superconductors that stay flux-pinned into magnetic field sources regardless of temperature changes.
I admit those two components are a little too overcomplicated to pass as scientifically sound and naturally evolve-able, but imagine the scenario they can create for your valkyries, when they learn to exchange synthetic materials to decorate their halos.
Halo Accessories
Halos once appeared as natural as uncombed hair. They are messy, incomplete, but still a byproduct of weird valkyrie biology that got a bit too beautiful to even change. Young valkyries have at least a small arc of glowing superconducting dandruff. This small arc gets denser, accumulating and forming a complete circle that maintains its shape as the valkyries ages. Apart from the fact that stolen halos are easy to distinguish since they wobble on heads that are not naturally fitted to them, halos can be a sign of merit. They show just how often and how long a valkyrie has been working hard that their skin literally falls off, and then glows, and then floats, and then forms into a circle crown that proudly and firmly hovers above the head of a distinguished valkyrie. 671