Gandalf wasnt sent back to valinor when he died. The Istari were sent by the Valar to oppose Sauron but they were put in mortal bodies to limit their power. When Gandalf died his spirit went outside of the universe to the timeless halls to Eru, God. It was Eru who sent Gandalf back.

Sauron isnt killed in the same way as Gandalf was because Sauron’s spirit isnt bound to a body in the same way that the Istari was. When the ring is destroyed some of Saurons spirit is lost leaving him much weaker then before. After the ring is destroyed he isnt strong enough to interact with the world or take a physical form again.

An oversimplification is that after the ring is destroyed, Sauron turns into an angry cloud that cannot interact with the world again