Melian the Maia, a member of the same order as the Valar (though of much less power than they) took a corporeal form and had a child. I don't see why the Powers could not have done the same if they'd wanted. However, this would have been out of line with their purposes , which were to prepare the World for the coming of Elves and Men and then govern it to the design of Ilúvatar.
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Music alone proves the existence of God.
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