Doesn't just calling return from an event equate to returning boolean false, which means you are invoking the effects of preventDefault() and stopImmediatePropagation() thus explaining why with return it's faster as the event stops bubbling immediately?
That's not quite how it works. jQuery checks specifically for false with an === comparison. It doesn't do anything like a !! on the return value to convert it to boolean true or false. It only calls stopPropagation and preventDefault when the return value is false, not just any falsy value.
I posted the jQuery code in a previous comment; take a look at that and you can see how it works.
Doesn't just calling return from an event equate to returning boolean false, which means you are invoking the effects of preventDefault() and stopImmediatePropagation() thus explaining why with return it's faster as the event stops bubbling immediately?