This sounds like a problem with the adventure.

A bit of a frame challenge here, but I feel like this is more a problem with the adventure than the party. 5e doesn't have enough material that you can assume that every party can solve every problem (like you could in 3.5), and assuming that a 9th level party can affect the ethereal plane isn't a reasonable assumption in a normal 5e game.

The problem is that seeing into the Ethereal and affecting the Ethereal are very different things. 5e doesn't even have the old standby of force effects working against Ethereal targets like 3.5 did. It's going to be pretty difficult for a 9th level party to be able to do anything meaningful to an Ethereal target.

Given the restriction of not being able to add Ethereal-affecting items to the existing adventure, here's what I would suggest:

Give the enemy a reason to attack the players.

As you note, the tactically correct option would be to go Ethereal and wait out the party, which would make the party lose no matter what. A way to sidestep this issue is to give the enemy a reason to attack the party despite the fact that it could safely wait out the combat. Is the enemy non-intelligent, like an animal? Does the enemy have a vendetta against the party, and wants to kill them beyond reason? Does the enemy have a goal that involves the death of the party? Is the enemy just dumb, and doesn't think of using his abilities to their greatest effect?

If the enemy has a reason to come out of the Ethereal to attack the players, and uses their Etherealness to improve their combat ability rather than avoid the combat entirely, you're going to end up with a fight that's likely to be more fun.

The effects move with you.

The 5e SRD Appendix C details how the planes of existence behave. There's nothing to suggest magic behaves any differently in the ethereal plane than the material plane (outside of some spells that have explicit interactions with the ethereal plane). The effect would move into the ethereal plane with you and remain active at your new location. It would cease to function where you used to be.

Project image remains where it was placed because it does not follow you or remain centered on you.

Floating disk cannot move with you as you fly because that case is addressed in the spell description:

It can move across uneven terrain, up or down stairs, slopes and the like, but it can’t cross an elevation change of 10 feet or more. [...]

If you move more than 100 feet from the disk (typically because it can’t move around an obstacle to follow you), the spell ends.

Emphasis mine.

Mirror image and warding wind do not impose restrictions on where the effects can follow you, so there is nothing to indicate planar travel is off-limits.