We want to show Sauron developing Spell-of-Bottomless-Dread-lite this season, using it on a character to create a hypnosis/suggestible state where the victim is very biddable. Sauron is interested in conquering wills, so he's keen on getting into this new form of domination. We want to show the next step of his process, and how he's going to use what he learned from Morgoth for his own purposes and devices. I remain unconvinced that we want to take this story away from Sauron and give it to Morgoth.
Our chosen victim is Annael.
If we shift things so that Morgoth puts the SoBD on Annael, the audience is expecting the same outcome and behavior as Edhellos. We wind up looking like we haven't remembered the rules of our own story if it is now weaker and easier to be thrown off, and the exact sort of villain decay we're trying to avoid -- we *are* going to have Morgoth weaken over time. But we don't want to be in a position of trying to sell him to the audience as a big bad scary villain if he doesn't have the power to live up to that. If we want to convey that, I would rather have Morgoth express disinterest in directly enslaving more of his elf captives that way...because it takes too much out of him to do so.
I recognize that it might not seem like a gendered reason for the differing outcomes, but do keep in mind that the *main* reason why Annael and Rhogrin survive and escape, while Díriel remains imprisoned and Edhellos dies, is because both Annael and Rhogrin have things to do later in the story. They are going to play roles in the future, and so can't die yet. And the female characters are, naturally, a bit more expendable, seeing as Tolkien barely mentioned that they existed, so didn't get around to telling us anything about their lives or deeds. So, yes, when we've come across the 'we need named characters to die' dilemma, we wind up killing off a disproportionate number of our female characters. At least one of those deaths was canonical (Elenwë perishing on the Helcaraxë), but the majority are invented by us - the deaths of Olwë, Earwen, and Irimë at Alqualondë, the death of Edhellos in the Dagor Aglareb - two of those characters don't even exist in the published Silmarillion, and yes, it's the women.
I am not saying that we are killing off women for the fun of it, nor that every female death in a story is fridging (Elenwë undoubtedly is in the source material - her death is only mentioned to explain why Turgon is so upset). By the end of the First Age, almost ALL of our characters will be dead, male and female, human and elf and dwarf. We have...very few survivors by the time we get to the War of Wrath. I am pointing out that, unless we invent a role for some of these minor female characters, they wind up being very expendable and dying early. And so, if we put both a male and a female character into a very similar situation/dilemma, and the female gets killed by a balrog, but the male is okay and goes to live in exile....it does look rather deliberate on our parts to have 'saved' the important male character while leaving the female character to die.