Perhaps they had other tasks to do for Sauron. I'm assuming that he divvied up all of the battles/attacks among the Nazgul, except for the ones that required all of the Nazgul to be together. In the case of the Pelennor Fields, Sauron underestimated the forces of Men, and thought that just the Witch-king (a great power in himself) would be enough to cause the defeat of Minas Tirith. Then again, for all we know, there could have been a few Nazgul with the Witch-king, driving the Orc army onwards to attack the citadel, while the Witch-king was occupied elsewhere.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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