Written in response to the question “So why did the Avari refuse to travel to Valinor anyway?”
Orome was running a protection racket, but the Avari were having none of it. In the histories set down by Noldorin scribes, Melkor “sent shadows and evil spirits to spy upon them and waylay them” that were in the form of riders, “for the purpose that the Quendi should shun Orome, if ever they should meet” (The Silmarillion, Of the Coming of the Elves). Some of the Elves were kidnapped by these riders, but “little is known of a certainty” what happened to them (Ibid.).
I would question the story that it was Melkor who was harassing the Elves so far to the east. The only accounts of this we hear are passed down through cultures with who warred with Melkor and his servants for millenna: hardly unbiased sources. There is no concrete evidence that it was Melkor who was behind the disappearances, and the only roundabout evidence for it is the later emergence of Orcs, though of course we don’t know for sure what Orc origins were at all. The disappearing Elves could have been eloping with each other and moving to some proto-commune for all we know. I think it is more likely, however, that they were victims of the nascent protection racket.
We are told that Orome “loved” the Elves and it is heavily implied that Orome was of the faction of the Valar who wanted to bring the Elves to Valinor, ostensibly for their own safety (Ibid.). The Elves had their own society and (by some accounts, at least) their own rulers, and didn’t necessarily want to be brought to Valinor where they would be under the thumb of the Kings and Queens of the Valar. To get them to come, Orome and the other Valar would have to convince them somehow. Their solution? The time-honoured tactic of false-flag terrorism, or on the smaller scale, “fire insurance”.
Orome created a threat in the minds of the Elves and then “saved” them by defeating Melkor in battle. This made most of the Elves open to the idea of accepting new rulers (close allies/puppets of the Valar, of course) and moving to a new land with an already established power structure. The Avari were those who saw through the web of lies and distanced themselves from the mindless sheeple. Orome, of course, not wanting anyone to listen to the truth, made sure history remember the Avari as those too crippled by fear to accept their own salvation.
Fortunately, even in defeat, Melkor was able to spread the truth even in Valinor. Feanor himself, one of the most intelligent of the Noldor (if not the most intelligent) spoke wistfully of Cuievenen as a land “where a free people might walk” (The Silmarillion, Of the Flight of the Noldor). He was justified in this, as the Valar, once they had many of the Elves safely isolated on their side of the ocean, started interfering in their internal politics (exiling the crown prince of the Noldor) and imposing the laws of the Valar on the Elves (The Silmarillion, Of the Silmarils and the Unrest of the Noldor). We can assume that the Avari were able to predict this, and remained in Middle-earth, living their lives free from the decrees of the Valar.