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Why did Turgon became proud and refused the aid of Ulmo?
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He loved too well the works of his hands and the devices of his heart. He also misplaced his trust in the secrecy of his stronghold, even though Ulmo, who would know better than he, warned him not to.
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Was it because he was loath to abandon anything he had set his mind to do?
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It was probably more a matter of not wanting to abandon all the neat stuff he had built, combined with not wanting to give up his kingdom.
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Why is it that he trusted Turgon in the beginning and not in the end?
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I'm not sure I understand who you mean. If you mean Ulmo, I would say that it might not have been a matter of trust in the first place. Ulmo was trying to give Turgon good advice so that he would be able to endure through the Morgoth Wars and survive at the end.
He either died fighting in front of his tower, or died when the tower collapsed on him. One of the two, can't remember which.