In summary, "send" allows you to plug in effects, and bypass the preamp to send a direct unaffected signal so your effects can do their stuff without having been pre-eq'd/colored (important for some effects). "Return" is where those effects will plug back in and then hit the amplifier stage directly. Importantly it also allows you to plug in a different (better) preamp, so then you're just hitting the power section with your own pre rather than the built-in pre.
Plugging a Tonehammer or Subway into one of these (if they had send/return) would instantly elevate it. But then, you're losing some of the ultra-portable appeal of these all-in-one micro-marvels, and besides you're spending enough you may as well just get a used Tonehammer or Subway head anyway. The weight/portability difference between a 50 pound lead-sled amp and a 5-7 pound Class D is huge. The difference between those and these 1-2 pounders, not so much. IMO, YMMV.