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I think it grew out of his need to explain why there are no more Elves in the World - some passed into the West, others 'faded', perhaps into 'spirits', 'ghosts', haunting the last wild places.
Not perhaps a very 'Christian' vision - in the sense of their having a choice between going to 'Heaven' in the West, or wandering the world - no going to Hell. But then, they can't really face a judgement day of any kind because they don't naturally die.
Finally he seemed to have decided that if they remained in the world their spirits (Fea) would kind of burn away their bodies (Hroa).
Its sad - well, poignant would be a better word I suppose - but its part of their tragic fate.
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