Because the Valar were afraid that Men would desire immortality and would try to conquer the Undying Lands. Men didn't understand that the Undying Lands didn't cause immortality; the things living there (Valar, Maiar and Elves) all happened to be immortal already.
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Yes after rosie cotton died he sailed there and was last seen by his daughter
He leaves with the other Ring Bearers to go to the Undying Lands (Valinor)
Bilbo Baggins When Frodo left for the undying lands Sam was the most distraught.
In the book, Sam becomes mayor of the Shire six times, Merry and Pippin have jolly good times in the Shire, Sam and Rosie have lots of children, one of their daughters named Goldilocks marries Pippin's son, Faramir Sam is allowed to travel to the Undying Lands after Rosie dies because he was a ring-bearer if only for a short time. Legolas and Gimli wander in Middle-earth then Gimli goes with Legolas to the Undying Lands. Gimli is the only dwarf given that privilege. Aragorn and Arwen rule Gondor for well over a century. Faramir and Eowyn marry. Eomer becomes king of Rohan, and he marries the daughter of a prince of Gondor. And everybody lives happily ever after. :)
No, they remain in Middle Earth and died in Gondor, where they were later buried beside Aragorn, King Elessar.