Because they can escape from the circle of the world. They could go to Eru, or wherever they were appointed to die. Eventually immoratility would get boring ,and the Elves would have to reside on Arda until it ends-they have no hope of escape.
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“If I’m more of an influence on your son as a rapper then you are as a father then you've got to look at yourself as a parent” ~>Ice Cube.
"Life is so beautiful"->Don Vito Corleone
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