[Lostolin]

Galadriel said to the Fellowship that Gandalf had passed into darkness from information she read in their heads. She did not say he was dead. Galadriel probably did not know Gandalf would come back when the Fellowship was in Lorien (no information suggests she did). I don't know about Valinor since I haven't read the Silmarillion. Lastly, Gandalf would not be embarrassed of being naked since that is merely a form he adopted and he doesn't give a whit about it.