Finwe: They *do* go to Mandos, even if they only stay for a brief time in the Halls of Waiting (and their halls aren't the same as the ones for the elves). After a time of contemplating they pass away from the Circles of the World.
Beren is a good example, he "waits" for Tinúviel in the Halls of Mandos and is returned from them *before* he passes away.
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Aurë Entuluva!
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