Is TMDS really differential?
TMDS is actually a current mode standard, so the current flowing (or not flowing) in each line represents the bit level.  It is therefore not necessary to drive the line both high and low, only to pull it in one direction on the transmit side.  The bus ends up having a voltage swing of significantly less than 1 volt, making it less likely to generate or receive interference.  

Now, in this case there is a DC return path through the shield.  This doesn't work with a voltage mode standard as the current will be time-varying.  Just look at how the transmitter is configured - a constant current source that is switched over to one side of the pair or the other.  The current through the source is constant, and it is always connected to the shield, so that current will be DC.  The idea is to avoid a high frequency return path through ground.  

On this circuit, I believe you can do a common-mode/differential analysis that assumes the switch is in each position for 1/2 of the time and get what appears to be a differential return current in the opposing pair.