You'll capture the first haeldir as part of the campaign, but it's well worth capturing the other two, both for fast travel and to reveal the other treasures of the realm
This can see 4 ithildin words, 1 of Shelob's Memories, and 1 Barrow, but's it's same one you saw from the first haeldir. Their locations are (going clockwise from the arena)-
This tower by the arena can only see 1 ithildin, 1 spider reminiscence, and 1 barrow (the same barrow you can see from the other two haeldir). The memory is slightly subterranean, and can only be accessed from the ground level of the arena.
The ithildin is just against another wall.