Maiar or Man?

[Raynor]

If I'm not mistaken, Maiar are immortal as long as they are good in the face of Eru (which would explain why Gandalf was re-incarnated while the Balrog was not... and it'd also explain how Sauron outright disapeared

Gandalf's return was a unique intervention on behalf of Eru; if the balrog didn't really return (and let's pray he didn't), it is because he couldn't summon any more power to make a new body.

Saurman's is a bit different as he is shunned form Valinor and then disapears, and is sort of the exception to my "rule" but the others we know not where they go, so I'd guess that somehow Eru (the only one strong enough to actually KILL them) is involved

Kill them in what sense? All spirits are indestructible, cf Letter #211.