I could be completely wrong, but I believe that I read somewhere that the Valar where not involved with the lives of Men for the reason that the Second Children of Iluvatar were meant to be more in direct contact with Eru himself.
And as far as them seeking asylum, they couldn't have gotten there unless they travelled with the Elves and I doubt the Elves would allow them. It has happened of course, but is the exception not the rule.
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