[Aiwendil]

Looking at UT now, I realize the text I had in mind is more 'note' than 'essay' (it seems to be associated with the brief narrative of the choosing of the Istari). The relevant bits:

Originally Posted by Tolkien

It is said that in later days (when again a shadow of evil arose in the Kingdom) it was believed by many of the "Faithful" of that time that "Gandalf" was the last appearance of Manwë himself, before his final withdrawal to the watchtower of Taniquetil. (That Gandalf said that his name "in the West" had been Olórin was, according to this belief, the adoption of an incognito, a mere by-name.) I do not (of course) know the truth of the matter, and if I did it would be a mistake to be more explicit than Gandalf was. But I think it was not so. Manwë will not descend from the Mountain until Dagor Dagorath, and the coming of the End, when Melkor returns. To the overthrow of Morgoth he sent his herald Eönwë. To the defeat of Sauron would he not then send some lesser (but mighty) spirit of the angelic people, one coëval and equal, doubtless, with Sauron in their beginnings, but not more? Olórin was his name. But of Olórin we shall never know more than he revealed in Gandalf.

Originally Posted by Tolkien

Will thou learn the lore that was long secret
of the Five that came from a far country?
One only returned. Others never again
under Men's dominion Middle-earth shall seek
until Dagor Dagorath and the Doom cometh.