Iirc the books themselves didn't say, but Tolkien's letters say something to the effect of the Istari only having vague memories of their time as Maia, with the exception of things that they were explicitly meant to remember, e.g. Olórin's memories of being sent back after his physical death while fighting Durin's Bane.
They know that they are, in our parlance, embodied angels or minor gods, but they don't remember a ton of where they came from
Doesn't matter. While that amazon shitshow tells a different story, Gandalf (as Radagast and Saruman) only arrived in the third age, long after the War of the Last Alliance. Gandalf might be infinitely older than Elrond yet wasn't there.
I'm wondering now, how our little brains would adapt to living like for thousands of years. Would we really start forgetting things that are waaaay back?
Yes and no, probably. You will remember important bits and will reconstruct/imagine other things just like you do now. Even with our short lifes not all the things you "remember" actually happened.
The serious answer is it's juxtaposed with East and West. West being the Undying Lands of Valinor, and East being the much less well-explored Land of the Sun.
So there were five godlike beings sent to fight Sauron. Only one of them did his job.
I need to reword it.
You are the big cool powerful god. One of your servants, a minor much less powerful god does bad things to the world. So you send five your other servants just as powerful as the bad one to deal with him.
A lot of time passes. Three of those spend their time chilling. One joins the bad one. The last one turns out too weak. Who solves the problem? Four hobbits.
You really should reconsider your politics after that.
Isn’t much of the power of the Maiar in diplomacy and setting events in motion? Gandalf was as much of an interloper and manipulator as he was anything else, and his hiring Bilbo as a thief was the penultimate piece of his mission, as inadvertent as I’m not entirely sure it was. Right? No, really, I’m kinda asking, I don’t know for sure.