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

[–] Pilferjinx@lemmy.world 2 points 29 minutes ago (1 children)

Do the balrogs have the same memory issues?

[–] Revan343@lemmy.ca 2 points 20 minutes ago* (last edited 19 minutes ago)

That's a very good question, and one that I don't know the answer to. I would guess no, as the point of the Istari losing their memories was to make them more like the people they were sent to save; itz's not something about being embodied that made them lose their bodyless memories, it was part of their mission. The balrogs had no such mission