[Suzerain of Sheol]

Well... this is getting into rampant speculation territory on my part, but I'll take a stab at it.

Basically, it's their job.

The Valar serve at the direct and express volition of Eru Iluvatar as the custodians of Arda. The only part of the world in which they (the Valar) had no hand in creating were the races (except Aule with the dwarves). Those were purely the offspring of Iluvatar and have always been a treasured wonder to the Valar, even when the elves quit Valinor and killed their brothers.

Bascially, Eru favors the Eldar and the Atani above all else in creation and... I just can't imagine that he would countenance an upstart Maiar like Sauron running Middle-Earth into the ground.

Of course, the problem with that is that Eru, for the most part, is an absolutely omnipotent deistic God, meaning that nothing transpires that he did not will to happen. So... Morgoth and Sauron all have some part to play in his grand design, whatever that might be.

As for the Valar themselves, it's their fault, besides, that Sauron is causing trouble in Middle-Earth. They bought into the same "oh, I'm so sorry, I'll never do it again" con that Morgoth duped them with, and to similar results. You'd think they'd have the honor to own up and fix their mistake.