Been doing trim carpentry for about 20 years and corner returns on handrails are one of those jobs that looks easy until you're standing there with a miter saw wondering why nothing fits. The big decision is always the same: do you run one continuous rail around the corner with angled joints, or split it into two separate rails that just end at the corner? I've done both plenty of times.
My advice for a basement stair situation like the one being discussed here is to keep it continuous if you possibly can. Two separate rails feel fine going down but terrible coming back up, because your palm hits that gap right when you're leaning on it hardest. A mitered transition works well on a 90 degree corner where the wall gives you a clean reference line. Where people mess it up is treating the angle like a plain miter when the rail is also changing height between runs, so you need a compound cut, not just a sideways one.
Practical tips that saved me a lot of scrap over the years. First, mock up the transition with cheap pine offcuts before touching your good stock, because you will burn through two or three test pieces figuring out the compound angle and that's normal. Second, dry fit everything with the brackets loose, get the whole run clamped up level, then mark bracket locations last. Third, glue and spline the mitered joints, not just glue alone, since rails take real side load when someone stumbles.
On the feel question, honestly the smooth continuous version wins every time once it's done right. A sharp zig-zag transition looks clever but catches your hand if you're moving fast, and older folks especially notice it. Take the extra hour and make the joint land where your hand naturally sits.