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How would you propose to get the sound back in the system from the effects processor if you didn’t have a return?

Every desk in the universe works like this – sound goes in to processor via aux, effected signal has to be returned to the mixer somewhere. All but the lowest-end boards have aux returns as pretty much full channels so you can assign the effects output to other all the busses, not just L+R.

I suppose there are a few boards that don’t have an explicit “effects return” channel or knob, but under the hood the signal still comes back in to the mixer through a signal path that amounts to an effects return.