Keep in mind that aside from the Istari, and fallen Maiar who fell victim to Villain Shape-Lock, Maiar were in fact incorporeal spirits, and their physical bodies simply optional wardrobe. In other words, any of these hypothetical Maiar could simply have flitted back to Valinor whenever they liked.
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The entire plot of The Lord of the Rings could be said to turn on what Sauron didn’t know, and when he didn’t know it.
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