DOC: Validate the Returns section in the docstrings
`scripts/validate_docstrings.py` validates that the content of a docstring follows our standards. There are still some of those standards that the script does not validate, and this gives the users the wrong impression that the docstring is all right, when it's not really the case. All the missing validations are listed in #20298.

The format of the `Returns` section consists of a first line with just the type, and afterwards indented the description. In the case a tuple is returned, then the format is `name : type or types` for each parameter, and indented descriptions after them. The descriptions need to start with a capital letter and finish with a period. See: https://pandas.pydata.org/pandas-docs/stable/contributing_docstring.html#section-4-returns-or-yields

For this issue is required:
- Change `scripts/validate_docstings.py` to give errors if some of the described formats are not satisfied.
- Add tests in `scripts/tests/test_validate_docstrings.py`