Sprinkler system & smoke detectors - Illinois code requirements when closing loft
You will need to have sprinklering run to the new bedroom, and a smoke alarm fitted as well
In order to keep a sprinklered house in compliance with codes that require sprinklering, any rooms that are added on or &quot;carved out&quot; and are not exempt from sprinklers (small bathrooms and closets are exempted from that by NFPA 13D and IRC P2904) must be sprinklered as well.  Note that you will need professional help for this, both because most states require a professional license to work on any fire suppression system and, more importantly, many fire sprinkler systems are hydraulically calculated and thus require those rather non-trivial calculations to be rerun any time the system is added on to.
You'll also need an interconnected smoke alarm in the new bedroom; this is an easier problem to solve though, as it's just a matter of running a /3 cable of the appropriate type and gauge from an existing smoke alarm to a box in a suitable place in the new bedroom and tying that cable into the existing smoke alarm circuit, then installing the smoke alarm.  (Of course, if you have an alarm panel with system smoke detectors instead, that's a different story, and probably one you're best off talking to the alarm system installers about.  It's not impossible to DIY adding a smoke detector to such a system, but you have to be a little more careful to get the right stuff for such a situation.)
The return duct, however, is not essential; some houses get by just fine with a central return point instead of a fully ducted return.  You'll probably want a supply register, of course, which will mean a duct run for the new bedroom, though.  You'll also want to make sure the loft has a large enough operable window to serve as an emergency escape and rescue opening (aka &quot;means of escape&quot;, or an operable window that provides a minimum of 5.7 square feet of clear area when open with a minimum height of 24&quot; and a minimum width of 20&quot; for that clear area).