I have the impression (it may be incorrect) that the
Valar were kind of lazy. After all, they’d sung for
Eru for who knows how long, then they’d helped fashion
Arda to completion, then they had to fight
Melkor for it, then refashion it, and raise the Pelóri as a barrier to further attacks by him and his
Ainur minions.
Oromë discovered the
Elves while off hunting in
Middle-earth, and the Valar exercised themselves to protect the Firstborn of
Ilúvatar, ripping
Utumno apart, grappling Melkor and hauling him off to
Mandos for a long while.
At this point, yes, they
could have returned to Middle-earth to tutor the Elves
in situ, and I suspect that
ages later, after all was said and done, they finally realized they ought to have done that; but instead, they invited the Elves to join them in
Valinor, where they could have peace and security and, compared to life in star-lit Middle-earth, an easy life in the light of the Two
Trees.
Some of the
Maiar apparently did return to Middle-earth and mingled with the Elves:
Melian is the most noteworthy of these, whose interaction with
Elu Thingol brought about
Lúthien and her descendents, especially among
Men, a lasting addition to Middle-earth.
But for the most part, the Valar were content to stay at home after their demiurgic labors were completed, bringing the Elves home with them (at least those willing to move to Valinor), taking it easy and enjoying the fruits of their handiwork. Middle-earth was bathed in dim, star-lit twilight, changing slowly, while
Morgoth’s remaining allies –
Sauron and the
Balrogs and other Umaiar, not to mention the twisted
Orcs (these had to be ruined Elves: there were not yet any Men to add to the mix) – caused trouble enough for the Elves left behind.