In the Silmarillon, at the end of the "Of the Voyage of Earendil and the War of Wrath" it is said:
"Yet not all the Eldalie were willing to forsake the Hither land, were they had long suffered and long dwelt and some lingered many an age in Middle-Earth. Among those were Cirdan the shipwright and Celeborn of Doriath, with Galadriel his wife who alone remained of those who led the Noldor in exile."
That said, someone else may correct me, but I have never seen anywhere that the purpose of the elves is "...to show Men the way and prepare Middle Earth for them, but many of them are not doing that so what then are they doing, what's keeping them there?"
The Valar didn't even all agree on bringing them to Valinor in the first place, as is said in The Silmarillon ("Of the coming of the elves and the Captivity of Melkor"):
For some, and of those Ulmo was the chief, held that the Quendi should be left free to walk as they would in Middle Earth and with their gift of skill to order all the lands and heal their hurts.
Their purpose in Arda is to be elves and live and enjoy Arda, the same as men and Ainur... each race with it's own way. Also, note that most men in Middle Earth have never been in contact with elves, men from the east and from Harad. And from those lands, those who have been in contact with elves, have been mostly through war.