Morgoth is vulnerable to physical harm because he is only a small part of the Vala Melkor once was, locked to his original physical form. Most of his power passed in Arda itself, to dominate its matter and its habitants, to the point that the World itself became Morgoth's Ring:
Sauron was 'greater', effectively, in the Second Age than Morgoth at the end of the First. Why? Because, though he was far smaller by natural stature, he had not yet fallen so low. Eventually he also squandered his power (of being) in the endeavour to gain control of others. But he was not obliged to expend so much of himself. To gain domination over Arda, Morgoth had let most of his being pass into the physical constituents of the Earth – hence all things that were born on Earth and lived on and by it, beasts or plants or incarnate spirits, were liable to be 'stained'. Morgoth at the time of the War of the Jewels had become permanently 'incarnate'.
Other Valar (plural of Vala) did not expend their power so freely and only use bodies as some kind of clothes, as described in The Silmarillion:
Moreover their shape comes of their knowledge of the visible World, rather than of the World itself; and they need it not, save only as we use raiment, and yet we may be naked and suffer no loss of our being.
Since we are not even sure than these "clothes" are tangible and any Vala can switch back to his Spirit form at will, that makes them far less vulnerable to physical harm than Morgoth is.