There may be a couple of more considerations here.
1) While it may be possible to unbody a Vala, it may not be so simple as it seems - even when he is asleep. Consider the following (humerous) sequence:
- Beren: I'll get rid of Morgoth once and for all. <Stabs Angrist to the hilt into Morgoth's chest>
- Morgoth: <suddenly waking and reaching out to clutch Beren's throat>: Silly boy. That's not where I keep my heart.
It's not even clear the knife was long enough to deal a death blow to an enbodied Vala.
2) The workings of Fate.
Fate prevented even so simple a thing as cutting a second Silmaril from the crown (causing the knife to snap). Most likely, Fate would have similarly (in some fashion) prevented the unbodying of Morgoth at that time - even had Beren thought to try.