The 'rules' that apply to the One Ring are no doubt different from the Nine and Seven, but not completely. Just as we see Frodo, Gollum, and Bilbo lust after the Ring when it is taken from them, it seems the Nazgul would do the same if Sauron gave them away to others with similar intentions of corruption and control. Sauron himself holding the Nine Rings would not be the same because he is the controller of the Nine and those enslaved to them...it's not the same as someone else gaining posession of one of the Nine Rings.
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...take counsel with thyself, and remember who and what thou art.
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