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The essential problem of course was that after the end of the Second Age Sauron *could not* have controlled the Nine, had they possessed their own rings. They would have been free agents, bound to none but themselves. So I think we have to assume that once they were fully "wraithed," some time in the Second Age, Sauron used the power of the Ruling Ring to force the Nazgul to give their Rings back.
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The entire plot of The Lord of the Rings could be said to turn on what Sauron didnt know, and when he didnt know it.
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