Evil things

[HerenIstarion]

they had to go back to Valinor because they had to face the judgement of Manwe.

that'd be elves. And that'd be Mandos. But even elves do not have to go to Mandos, but are going in answer to summons, though they are free to refuse and remain in ME. Not that such a refusal is not a sign of some taint of the spirit, but, nevertheless, they are free to refuse

Maiar, on the other hand, are not bound by such a summoning. Since they entered the world as part of host of the Ainur to become Valar, i.e., Powers Of The World, they are equally bound by World's history (the condition when they are allowed to enter it on terms of remaining inside it till its end). Therefore (apart from Morgoth, who was forcibly thrust out), any Maia, whose incarnate (and for becoming premanently incarnate, see One hand tied behind their backs ) body is destroyed, does not go but is left within the boundaries of the world. Besides:

Letters, L200

It is mythologically supposed that when this shape was 'real', that is a physical actuality in the physical world and not a vision transferred from mind to mind, it took some time to build up. It was then destructible like other physical organisms. But that of course did not destroy the spirit, nor dismiss it from the world to which it was bound until the end. After the battle with Gilgalad and Elendil, Sauron took a long while to re-build, longer than he had done after the Downfall of Númenor (I suppose because each building-up used up some of the inherent energy of the spirit, which might be called the 'will' or the effective link between the indestructible mind and being and the realization of its imagination). The impossibility of re-building after the destruction of the Ring, is sufficiently clear 'mythologically' in the present book

As a consequence, you may think of Sauron after the destruction as of ghost of a kind (and Saruman equally, for he's truly incarnate also)

Both may wish to return, but are not allowed to (hence breeze dissolving their shapes)

On the other hand, Gandalf's spirit, who remained faithfull, would go to Valinor of his own free will and be accepted. The fact he is granted with the second chance is the grace of Eru. See Wielding the Flame of Anor