That's a lot of current for some simple electronics.
No, the return is through the light bulb.
(hot)>>black wire>>(switch)>>black>wire>>(load)>>white>wire>>(return)
It's on the other side of the load. There is always current through the load. When changing light bulbs, be careful with these because the lamp is still energized with it turned off.
X10 switches work this way because there is no guarantee that there will be a neutral in the box. Insteon devices don't and require a neutral to operate.