king fingolfin

[Inziladun]

The physical manifestations of Sauron, Gandalf and Saruman were each destroyed in a conflict, and there really is no difference between Valar and Maiar, save different designations of power within the Ainur.

I would argue that the Istari cannot be said to be comparable to Sauron and the Valar as regards their embodiment.

By 'incarnate', I mean (the Istari) were embodied in physical bodies capable of pain, and weariness, and of afflicting the spirit with physical fear, and of being 'killed', though supported by the angelic spirit they might endure long, and only show slowly the wearing of care and labour.

The Letters of J.R.R. Tolkien # 156

He seems to take pains to differentiate them from other instances of Vala and Maia incarnations. The Valar are able to present themselves in physical forms, though that is said to be analogous to the Children of Ilúvatar wearing clothes.

I also found the quote from The Silmarillion I had half-remembered.

A messenger came at last from Manwë, saying: 'The lies of Melkor shalt thou unlearn in bitterness. 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 Eä, not though Eru whom thou namest had made thee thrice greater than thou art'

Upon reading the real quote, the question appears to be what is meant by 'overcome'. Morgoth was certainly wounded by Fingolfin; and Sauron's incarnate form was removed three times: the Fall of Númenor, the end of the Second Age when the Ring was cut from his finger, and, of course, the final destruction of the Ring. Sauron was said by Gollum to be missing the finger from which Isildur cut the ring, so he was obviously capable of physical injury.
From a simply physical perspective, I still don't believe Fingolfin could have finished Morgoth. He had much greater strength and stature, and in the end simply wore Fingolfin down. How much damage would it take to destroy one among the most powerful even of the Valar? Sauron's body was, I think, only outright destroyed by physical violence once: by the sinking of Númenor. The other times it was the loss of the Ring that made him discorporeal. And, as was noted above, Sauron was of a lower degree of angelic spirit than Morgoth.