Morgoth is vulnerable to physical harm because he is only a small part of the Vala Melkor once was: Much of his power passed in Arda itself, to better dominate its matter and its habitants, to the point which the World itself became [*Morgoth's Ring*][1]:

>   To gain dominion over Arda, Morgoth had let most of his being pass into the   physical constituents of the earth.
>  *Morgoth's Ring, Myths Transformed*

Morgoth is only his physical form and what remains of his personal power.
Tolkien even comments at how low Morgoth has fallen in his Essay #7:

> "Sauron was 'greater', effectively, in the Second Age, than Morgoth at the end of the First."


The other Valar by contrast did not expand their power so freely and only use bodies as some kind of clothes:

> 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. [*The Silmarillion*][2]

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.

  [1]: https://en.wikipedia.org/wiki/Morgoth%27s_Ring
  [2]: http://ae-lib.org.ua/texts-c/tolkien__the_silmarillion__en.htm