Quote:
And Ar-Pharazôn said: "Who is this Lord of Darkness?"
Then...Sauron spoke to the King...saying: "...his name is Melkor..."
(The Silmarillion, Akallabęth - emphasis mine)
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Sauron had more purpose for Morgoth outside Arda than in it. Very, very clever...
So still, Sauron wants Morgoth where he is, not running wild all over Middle-earth. It could very well wreck his plans.