You could also not use a return channel at all, if you're trying to do what I think you're doing. You can add a wet/dry control to any audio effect with Live with groups and macros.
Drag in the filter, or whatever effect you want to and put it in a group. Name the chain 'wet'.
Then create another chain, leave it empty and name it 'dry'.
Then right click the volume fader on the 'wet' chain and click 'Map to Macro 1'
Do the same for the 'dry' chain.
Click the 'map' button and right click the macro for the 'dry' control and select 'invert range'
Then you should now have a macro that controls the wet/dry mix of any audio effect you want.
Even if for this case you think it's still better to use a return channel this trick can be useful for other situations.