The wizards were not sent to combat Sauron. If they were, they would've stormed Mordor, captured Sauron, and left town.
They were sent to guide the people against Sauron, not fight the war for them. Gandalf was only allowed to take a more direct approach when it was clear that the other four wizards had turned away from their mission.
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...take counsel with thyself, and remember who and what thou art.
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