Dear Roberto,
I don't know if this analogy will be of help to you, but when my Guru explained it to me in this way, it did help me to understand much better about the nature of Enlightened Beings.
Imagine Enlightened Beings to be like water - it can be contained if there is a container to contain it, but it can also flow freely to wherever. Enlightened Beings can emanate in various places in different forms all at the same time. Just like water - if you pour the water into several different cups, glasses or containers and even jars or pots - it is still water. It does not change. Even if you spilt it on the ground, it is still water. It's the same, but now, it is in different places.
However, more than water - Enlightened Beings will choose to emanate as whatever form that will best benefit the sentient beings around. So, it could be as a Protector, an Oracle or a Guru, a beggar or even a courtesan.
Enlightened Beings will do whatever is necessary to help us all see, learn, understand and open up our minds.
They do not need to pray to themselves, but they may need to emanate as somethings to show us how to pray, how to work harder or even commit and not give up - all for the sake of Dharma.
I am just giving you a few examples here. In truth, it is infinite what Enlightened Beings can be and can do.
Hope this is helpful.