Because even with a mechanical pump, it will run much better and any chance of vapor lock will be gone. The whole purpose of a return system is to assure cool fuel to the engine. Without a return, the fuel will simply sit in the lines waiting to be burned. With crappy ethanol pump gas, that's not a good recipe for a happy engine in traffic in hot summer months.
You can do the return a couple of ways. You can get a filter with an orificed return nipple in it, or you can simply run a return regulator like the Mr Gasket 2015. My personal preference is to get the return point as close to the carburetor as possible. You can actually place the regulator after the carburetor and it will work just the same. It does not matter where in the system it is, it will still regulate the fuel pressure.