In fact, there are return arrows in Jude . It took me quite some time to find - and an equal amount of time banging my head on the wall
because it was right in front of my face...
The 7th icon on the toolbar (between "Destroy Message" and "Termination" is a "return message". You just draw it where you would like the return arrow and voila!
It is not an "attribute" of the original message (as in Together - at least before Borland, which was the last version I had the opportunity to use), maybe that is the reason it is so hard to find...