when to use "of" and when not?
"Warlord" and "landlord" are English words.
"Lord of war" and "lord of land" do not happen to be established English phrases, but they can certainly be used: but they do not mean the same as the words. (For example, a "landlord" may be quite a humble person, provided only that they have some property which is let to somebody else - and that is leaving aside the special meaning of "landlord" as "publican" or "proprietor of a pub").
In a feudal setting, you could reasonably use the phrase "lord of the land" - this would mean the lord who ruled over the land: a quite different meaning from "landlord".
In the case the Rings, neither "Ringlord" nor "Lord of the rings" existed in English before Tolkien wrote them, as far as I know. We cannot know why he used the phrase for the title, but my guess is
- it has a more sonorous sound
- at the time he wrote it, I think that using a neologism like "Ringlord" in the title of a book would have puzzled both editors and readers.
Convention. When a given term becomes standard currency for a set of users, that usage is considered correct. Take, for example, "it's me" vs. 'it is I". Most people would accept that "it's me" is the modern conventional form, and therefore correct. Whereas, some might reject "it is I" as archaic.
There are basically two kinds of grammarians: prescriptive and descriptive. Prescriptive essentially means that rules are derived from theory. Descriptive means that rules are deduced from practice.
Thus, the short response to your question is that you should go with what is conventional usage. Usually, you'll find such to be generally acceptable (intelligible) to most users with whom you intend to communicate.