Correct me if my English isn't up to the point, but I've supposed HOLD can also mean BIND or CONTROL, as well as 'grasp in the hand'. Perhaps it was like this - Sauron controlled the Nine while the Nazgul actually kept them. In this case Gandalf's words /Westerly Wizard's post/ make sense.
Besides, wouldn't the Nazgul, deprived of their rings, just go mad the way Gollum did?
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Где найти мне сил, чтобы вернуться через века,
Чтобы ты - простил?..
А трава разлуки высока...
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