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Fionwë turns into Eonwë, greatest of the Maiar, further into his legendarium.
So he WAS a Valar, yes. But that changed later.
Tolkien also abandoned the idea of Ainur having children some-where later in his works as well. Keep in mind Melian was made un-Ainuish, if that term is acurate, when she married Thingol, so she could bear child.
The 'Valar' could be used to describe what later became the 'Ainur'. Later Tolkien divided them into the more powerful 'chief' spirits (Valar) and other less powerful spirits (Maia.)
Several 'Maia' were Valar some way into the legendarium, such as Uinen and Ossë. But they became Maia.
The idea of Valarin pro-creation was dropped in the LQ II. As a result Fionwë ceased to be the son of Manwë and he was made into the herald of Manwë, and his named was changed to Eonwë. Melian was of course self-incarnated, because of her ability to conceive. Other Ainur were self-incarnated, a lot of these were Ainur who followed Morgoth. 'Myths Transformed' and 'Ósanwe-Kenta' deal with these issues in depth.
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