Just finished reading The Silmarillion (again) and can recall a sentence which stated that the Eldar had no great love of marrying their immediate kin i.e 1st cousins. The statement is in reference to Maeglin's love for his first cousin Idril Celebrindal, can't remeber what chapter though.
The Elven culture it seems also has scruples associated with this topic. This makes me wonder whether this developed from the Ainur, in much the same way 'morals' are taught and practiced in our human society as a result of religion and government (Eru don't like therefore we don't like)?
Or perhaps a notion of integrity, something they developed as a culture themselves, before the Valar found and summoned them, and whether this notion came about from a desire to maintain the fairness of their race.
I somehow get the feeling that, even if they bred with their immediate kin, it would probably have no real effect. A race free from sickness and pestilence may not have the genetic throwbacks that occur in mortal races, as a result of the inability of our bodies to 'deal' with the 'overlapping' of DNA, perhaps they simply just don't want to do it.
As a side thought maybe that's the difference between the Avari and the Eldar. The Avari were unwilling because they thought in Aman they'd be frowned on for wanting to get it on with mummy!!!
