I think I understand what you mean. A physical body does obey laws of physics and thus restricts the “true freedom” of a whisp or spirit. However, a hröa can also focus and direct the energies innate to a fëa, which could make the being more powerful. In Fëanor’s case, his fëa was the brightest and strongest of all the elves, and when he died, his hröa actually disintegrated due to the power of his fëa leaving, so one could argue (without much evidence) that his spirit was stronger than a physical body could truly handle (but this falls apart when looking at Morgoth or the other Vala’s bodies that don’t burn up).

There’s not a lot of text specifically surrounding the fëa and hröa, but some of it can be gleaned from the silmarillion, or unfinished tales. Tolkien liked his mysticism a lot more in the earlier drafts of the legendarium, so unfinished tales will probably suit you more (although some of those drafts aren’t considered “canon” in light of the silmarillion’s later publishing and research, but that’s another matter entirely).

You’re exactly right with Sauron. He was originally able to shape shift into anything (fun fact: his first appearance was Tevildo Lord of cats, then altered to Thû the necromancer who could turn into a werewolf, then finally Sauron), but after the fall of Númenor, he lost that ability and was left with his body looking dark and evil. By pouring his fëa into the one ring, he risked total doom by its destruction since he wouldn’t have enough power left to maintain even a spiritual form on middle earth.

I don’t think there’s any evidence that a Maiar with a hröa is weaker than a Maia without a hröa. There’s no interaction between a pure fëa Ainur and an embodied Ainur, so there’s no way to get a definitive answer. I would say that without a hröa, the fëa can’t be “focused” and is therefore weaker (from the wiki (no source provided): “According to the Elves, the fëa is powerless without the hröa, and likewise the latter would die without the former.”)