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IIRC the projectiles return mod only worked for a single projectile, no matter how many did you fire. Does this thing still work like that?
That has never been the case
Can you give us some more information on this notable? Does it only trigger after Chains & Forks are done? Will it deal damage to targets it has previously damaged? Will it trigger effects like Spectral Shield Throw's shards?
Returning is the "last" in the list of possible projectile behaviours when hitting a target. So it won't happen until all that projectile's ability to pierce, fork, chain, or split have been used up (in that order, I think - split might come before chain, but I don't think players can get splitting projectiles currently so it's been a while since that mattered and I had to remember it).
There are two forms of returning - this one is returning from a final target (the wording has changed in 3.8.0 to be a bit clearer - previously it was something like "Projectiles Return to you after Hitting targets"). This means it's an on-impact behaviour only, like pierce, chain fork, etc, and can only happen when the projectile hits something (and as noted before, it has to have used up all the other behaviours first).
The game also has the broader "Projectiles Return", which does the same thing but also has them return if they hit max distance. I don't remember if it works on colliding with terrain or not off the top of my head.
Returning projectiles (of either type) can hit targets a second time on the return, but are still subject to the standard projectile behaviour that one set of fired projectiles can only hit the target with a single projectile - just that this is extended to hitting once on the way out and once on the way back. The specific thing they return from is only ever hit the once - it counts as both.
return to you
Does it mean the returning projectile will disappear once it reach to me (same behavior as Spectral Throw), instead of piercing through me and hitting monsters behind me?
Sorry if my question is silly.
No, "to you" is defining the direction they return in, they don't stop when they reach that point.
So when Venom Gyre's "Projectiles Return to you" and pierce all targets, if linked with chain, are the chains used up or reset on return?
For it to return from a target, it has to have already used it's chains - if it had chains left, it would have chained from that target instead of returning.
For returning from terrain/max projectile range, it can do that with chains still remaining, but since it always pieces while returning, it cannot use those chains.