Thinking out loud...
So when Elves die crossing the Helcaraxë, Ulmo feels guilty for creating it? What would that make him do? The Elves are up on the glacier, not close to the ocean anymore... He can't reach them. He can't undo what he's done. He can't melt the ice, that would be dangerous. He could ask someone to help him, to do him a favour. He could talk about this in the discussion that leads to the decision to create the Moon and the Sun. The question is, does he try anything before that?
Could we tie this to the Auroras? As MithLuin pointed out in the Sets thread, it's actually impossible to have Auroras until there is a Sun. But there is some conensus to ignore that fact. The problem with this is that we need some other explanation, which would have to be mythological. So, we need some chain of events involving one or more of the Ainur creating the Aurora. I'm not totally comfortable with this, but let's talk this through anyway. Should the creator be a Vala or a Maia? In the case of the Sun and the Moon, we have Maiar carrying lights across the sky. The Aurora is more elusive, more of a flickering field of light rather than a single body, so it should not be a Maia carrying something - it is not like a primary source of light but like a side effect. It could be a bunch of small Maiar dancing in the dark, trying to mimic the stars...
An alternative would be not explaining the Aurora at all, leaving the viewers thinking it could be Eru or whatever...