So literally no one in this topic has ever read the books. Check.
It's spelled out pretty explicitly in the books that Gandalf (as well as the other wizards like Saruman or Radagast) is not allowed to directly oppose Sauron. Advise people? Yes. Help lead others? Sure. Do minor stuff with the ultimate goal of leading to Sauron's defeat? Absolutely. But Gandalf isn't allowed to fight Sauron directly, and part of that is almost certainly not being able to take the one specific action that auto-kills him.
The Valar would prefer to see Middle-Earth plunged into eternal darkness for all time than have one of the Istari straight up fight Sauron. If Men and Elves cannot save themselves, then Men and Elves do not deserve to be saved.