What are 'return' pins?
Probably so that the voltages induced by the ground currents don't interfere with each other.  Copper is not a perfect conductor, so a current transmitted through copper results in a small voltage change.  If they all returned through the same wire, the ground voltage would be affected by all three signals, and allow the colors to bleed into each other.

Also this would allow each pair of wires to be tightly twisted, so that the magnetic fields created from the currents going up one and down the other cancel each other out, reducing emissions.  If they all used a common ground wire, there would be more loop space between them?

Oh yeah.  Impedance is important, too, at video frequencies. The pairs need to have a given characteristic impedance so that there are no reflections when the signal gets to the monitor.