[Formendacil]

I've been curious about this too, but I have a theory. Here goes:

The Nazgul are enslaved to the Nine Rings, which are in turn bound to Sauron/the One Ring. Sauron could control the Nazgul either through the One Ring (and thence into the Nine) or else through the Nine Rings directly, once they had become wraiths.

Therefore, since Sauron did not have the One Ring during the Third Age, it was necessary to have the Nine Rings to control the Nazgul. Had he given them out, he would have lost control of the wraiths, who would have likely sought out and killed the new keepers of the Rings, desiring them for themselves (think Gollum here).

Now, the only thing that I know of that could CERTAINLY make this theory fail is if Sauron didn't take back the Nine until the Third Age. If he took them back in the Second, then there is no obvious problem. But if he did it in the Third, the question is when, and was he strong enough to do so? After all, I don't see the Nazgul giving them up willingly if he didn't have the One Ring to control them, since they would have been as jealous of the fates of their rings as Gollum.