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The Witch King obviously seemed not to have known.
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I suspect the Nine didn't "know" much at all of anything. They worshipped Sauron as God and were deluded not only about Sauron's place in the grand scheme of things but also, no doubt, about their own. Probably intentionally.
The bottom line of the Gandalf v. W-K debate, which is easily demonstrated and I have done so elsewhere, is that Gandalf's enemy, to whom he was an equal match and thus appropriately chosen, was Sauron, not the Witch-King. The Witch-King was a lesser being (by far, in fact) than Sauron his master.
This type of discussion promotes oversimplification, though. Tolkien's definitions of power are complex, and reducing the question to who would win in one-on-one duels is misleading. One of the things that complicates things is that duels
do happen, so we know that questions of "power" are not purely metaphysical, but even so the victory is generally determined on a metaphysical level, i.e. the more powerful "spirit" ought to be victorious.
I explain
here.
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Yes, we can [trust Gandalf], if it is agreeable that the character is an honest, reliable & symbolic creature representing good.
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Well, Gandalf does not always
know. He admittedly makes mistakes in judgment. Yet, he also does not brag, and is chosen by Manwe specifically because of his humility. I think in this case, since Gandalf knows the spiritual nature of Elves, Men, Saruman, the Witch-King, and Sauron, we can trust him.
As feebly as Essex makes his sappy point about the small overcoming the great, I do understand it. The idea does not apply to David and Goliath, nor to Merry and the Witch-King, nor to anything in LotR that I can think of. However, the potential of an example ever occurring probably can't be unequivocally denied. Still, there are evidently some barriers which simply can't be transcended:
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[Messenger of Manwe to Feanor:]"Vala he is, thou saist. Then thou hast sworn in vain, for none of the Valar canst thou overcome now or ever within the halls of Ea, not though Eru whom thou namest had made thee thrice greater than thou art."
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