Now I could be completely wrong about this, but I thought I'd read somewhere the Valar had to first confront Manwe, who would then communicate with Illuvatar to get "permission" to send someone back??
Otherwise I'd have to agree with Glorfindel. Gandalf was given a "promotion," but still remained a maia. Also Galadriel was not necessarily able to see anywhere in ME, especially Mordor, which was known for being covered by a black cloud and always shrouded in darkness. However Ain did say Morgoth's influence and not necessarily Morgoth, so I assumed he referred to characters like Sauron and the WK etc. However Illuvatar did not pick favorites. He loved all his children, even the bad ones. The Vala were the ones with bias. And honestly, of the 5 "wisest" maia you refer to, it's hard to choose a "favorite" in the sense you mean when really Gandalf was the only one who did what he was supposed to. And Galadriel wouldn't really have been any more loved than Elrond, Thranduil, Feanor, Melian etc as they'd all equally be gladly and openly welcome back to Arda.
Also Ain what did you mean by Gandalf being in Lothlorien as an elf??