Should there be cold air returns in my bathrooms?
Bathrooms never have returns. You wouldn't want humidity and odor distributed throughout your house. Bathrooms in modern homes may have exhaust vents that route through a heat exchanger. This still results in the air being vented to the exterior though.

Also, it used to be common for bedrooms to have heat supplies but no cold air returns. There may have been a central return in the hallway or other common area.