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Sauron took a third option: loyalty to himself.
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Of course he is loyal to himself, as I said it seems you don't understand what loyalty means.
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Sauron's goals and Morgoth's goals differed. Morgoth was (certainly by the end of the First Age) a nihilist whose ultimate goal was to destroy the world.
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Oh really, yet he put the silmarils in a iron crown and declared himself ruler of Arda. He didn't want to destroy the world, he wanted to be recognized as the king of Arda and bend all the children of illuvatar to his will. Did he not corrupt elves into orcs and many maias including Mairon to serve him? Sauron or Mairon is Morgoth's shadow...
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Morgoth's defeat actually made Sauron's desire for rule and order (which he'd had from the start, but which Morgoth only shared until his descent into nihilism) more achievable than it was when Morgoth was around.
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When did Morgoth decend into nihilism?
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The idea I'm arguing against is that he was actively still devoted to Morgoth, which is to say that he was doing what he did to Morgoth's glory or because he believed Morgoth's cause was right. As we've seen, Morgoth's cause and Sauron's greatly differed in the end, so surely as far as Sauron was concerned his activities in the Second and Third Ages were meant to fulfil his own ambitions.
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His own ambitions...because Morgoth was not in the freckin world...! What it all boils down to is that you don't understand what being loyal means. One can still be loyal by being your own master. When Morgoth was thrown out into the world Sauron had two options:
1. Go back to valinor and ask for pardon or judgement.
2. Stay in middle earth and keep bothering people.
Remember even when Morgoth was loose in middle earth and tormented the children the valas did nothing. They do not directly intervene, therefore by staying in middle earth Sauron stayed loyal to Morgoth. Sure one could say he became his own master, but that is ONLY because Morgoth was not in the freckin world. That is like saying if a general is killed in battle the soldier all of a sudden isn't loyal to the dead general because he now has to order himself around and keep fighting the enemy.
So Sauron was loyal to Morgoth til the very end.