What happened to the Nine Rings?

Yes. But that just goes to the point I was making - if Gandalf thought Sauron might be responsible for the snow on Caradhras, that suggests that Sauron’s will might be able to sustain and move his servants in some way, even when they’re far from Mordor.

That Sauron controls his slaves thusly is made clear at the Morannon, when Frodo claims the Ring and Sauron suddenly sees his danger: