[Ibrîniðilpathânezel]

If the Stones were in use in the West at the time of Fëanor's revolt, I doubt that he would have had the time to go collect them before setting out. He was extremely focused on recovering the Silmarils; he didn't appear to have thought for anything else Melkor might have taken from his hoard in Formenos (and it is stated in TS that Melkor took whatever had been locked up there). One would assume that the things Fëanor made the effort to lock away were somehow precious to him, but he never mentioned the loss of anything that was stolen but the Silmarils. Given all that, it seems to me that if Fëanor indeed made the palantiri, he counted them among his lesser works that he had already given away before he left Aman. It also seems that Melkor wasn't terribly impressed by them, either, since he never expressed any desire to own them.