Many of them are Ainur, rather like distant cousins of the Valar and Maiar, so some of the "normal rules" may not apply to them. Some could be very weak (compared to the Valar and Maiar) Ainur, and thus, appear as highly sentient animals, rather than in specific Vala or Maia forms.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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