1. I've assigned all the effects in one chain to a switch. If it's a block, you can assign it to one switch. But Gregmon is correct... you can touch the switch to scroll through the effects that are assigned to the switch (and then press & hold to edit just that effect), but pressing the switch turns on/off all the effects assigned to that switch at once.
2. Just to clarify the send/return thing: you can assign a block to be a send, a return, or one block for BOTH send & return. Don't need to use two blocks for send and return unless you're doing creative things with them. Yesterday morning, I used a return block as an AUX IN and ran .mp3 and youtube audio in from my phone. Then I used a Send block as a Headphone out just to see if I could do it. SPOILER: it's not the same as a true dedicated headphone out, but it does work.
3. You could put a volume pedal in a send / return loop, but there's also a dedicated volume block. The volume pedal would go in one of the expression pedal inputs. That way you can still have both effects loops free for any outboard pedals you want to use.
Re: Assigning blocks to NO switch
I'm doing this in my main patch with a comp, and an Obsidian a preamp (distortion off, at the end of my signal chain). Bith are always on, so I can have them in my chain but free up switches for other things.
5sg.