Hi Mark
My 2 cents, as the mech pump runs all the time, the return gives it somewhere for the excess pressure to go to and as Tim says, no harm in having cool fuel being circulated. With an electric pump I would block off the return as my understanding is that they will normally turn off when the back pressure reaches a certain limit. This would then allow the pump to not run all the time and hence hopefully extend its life.
Understand you getting the filter king, but unsure if you need the pressure regulation part with the mech pump, what did you find the reading was in regulated?
Peter