Indeed...that's a pretty clear contradiction
I took a look at tuckburough.net (along with the EoA my favourite encyclopedia) and on the page about the Nine Rings there is a pretty clear note:
Quote:
Sauron is said to be in possession of the Nine Rings in The Fellowship of the Ring, p. 61 and 382; Unfinished Tales, p. 338 and 343; Letter #246. However, in The Fellowship of the Ring, p. 263, it says "The Nine the Nazgul keep."
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It seems they have also noticed this exact contradiction.
Was this something Gandalf was wrong about?