They just had their own interests and aptitudes, and "attached" themselves to the Vala whose area of expertise, as you could call it, most closely corresponded with their own. Thus, Curumo and Sauron attached themselves to Aulë, Olorin attached himself to Manwë and Varda, but was also close with Nienna, and Aiwendil was "attached" to Yavanna. It just depended on the individual interests of the Maia.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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