For a while I was bugged that I couldn't craft a Returning Thrown Weapon. Then I noticed that every weapon that I was trying to disjunction was a "+1 <metal type> Returning <weapon type>", they didn't have a "Gold Border" so they'er not Named Items. I then tried to disjunction a returning weapon that had existing properties, a "+1 Weakening Returning Shuriken of Enfeebeling", and it worked, I got a Craftable(+5) Returning Shuriken.
So for anyone wondering out there. To be able to get a craftable returning weapon, make sure it has enchantments on it first.
Please make it so we can Disjunction plain "+1 <metal type> Returning <weapon type>"s (that don't have any effects on them yet), I see too many of them on the AH going to waist cause they are useless in the crafting system currently.