[Neithan]

Apparently there is a restriction, that a Maia can embody himself only with shapes of his own gender. The gender is anchored in the spirit of the Maia and influenced apparently the physical form. An attribute. But surely there are other attributes, which are fixed in the spirit. Attributes, which have effects of the physical forms they can choose. I think, that the body of the Maia is mirroring his spirit. We see this in the changing of Sauron's shapes in the 'hands' of Huan.

Tolkien compares the genders of the Valar and Maiar's hroar to the different clothing of men and women and he says that their gender was "bodied forth in the choice of each, not made by the choice." To me this implies that they could have taken the hroar of the opposite sex, but I am sure that it would have had just as much, if not more, social stigma as cross-dressing has for us.
And as for the hroa mirroring the fea, I think that it did, but that if they wanted to the Ainur could choose a decietful hroa, that is they could appear fair when they are really evil.

After the Downfall of Numenor, Sauron could not take a beautiful shape again, he lost his shape in the Sinking of Numenor. I interpret this passage in the following way: the Downfall of Numenor, for which Sauron is responsible, the measure of his evil deeds was so high, that 'his spirit' was so foul, that he could not take another form as a 'Dark Lord'.

I had a somewhat different interpretation, because Sauron's hroa was destroyed he was weakened and could no longer assume a hroa that was different in nature from himself. Therefore because he was himself dark and terrible his physical form had to reflect that.

If Maiar become bound to their hröar through indulgence in physical pleasures (eating, drinking, begetting etc), does that mean that Melian and Gandalf (and any other of the Istari that may have returned) remained bound to their physical form on their return to Aman?

Actually Child of the 7th Age posted his reply just after I had decided what to answer to this question, and I agree with everything he said, other than the typo where he called Gandalf a Vala, but I would add that since Gandalf had already lost his hroa and come back in a more powerful form it would be hard to imagine that he could not exit it, and I am quite sure that Melian was not trapped in her hroa either.

Actually, one more question. Am I correct in understanding that a Maia bound to his or her hröar could still assume a different form?

I don't think so, at least not normally. Sauron may have been a special case since he had put so much of his power into the ring and he was powerful to begin with, but I still don't think that he could shape shift as he used to.