If their immortality is such that exists within the created world, then I guess it can be said that their physical being is tied to their soul or vice versa. Or, that their soul and their physical body is tied within the confines of the universe, which is why they reincarnate. The cycle of reincarnation is what makes them immortal. (this notion is somewhat incomplete...corrections are welcome, though)
When it comes to Men, then, their "blessing" is that they do not need to go through the cycle of waiting to be reincarnated.
Looking at these differences, what does Tolkien think of immortality? I don't think that he seems to be thrilled about the notion of living forever, considering that he calls Man's mortality a "gift."
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