Hi
Yes you are right. But when return delivery is created through notification then i think sap has provided the sales route path as the function module attached to the task "Create Return Delivery" is QMLR_CREATE_RETURN_ORDER which is attached with follow up function DELIVERY(for creating outbound delivery) through code group QM-G2 and code 0023.
So task of Change Outbound delivery has also provided by sap. So that return can be done in two steps. One for creating delivery and second for changing/PGI/PGR.
have a link
http://help.sap.com/saphelp_media464/helpdata/en/44/72369adc56d11195100060b03c6b76/frameset.htm
Manish