[Marileangorifurnimaluim]

This will really take an expert on the Silmarillion, but I think he wasn't allowed to return to Valar and was under the impression he was snuffed. You're probably right, none of the maiar could die and even Sauron was technically still alive, unable to take form again. It seems as though he shared Sauron's fate. There are Gandalf's words that perhaps he could be redeemed, but I don't know if they applied only to while he was in living form or not. That would be awfully sad to think that some of the maiar were lost forever. If he could still somehow return and redeem himself, that would also probably mean Sauron could (potentially) as well.