Flexibility
Just like Doubling Rings, you can mix what weapons the runes apply to.
You can throw a Trident first for 1d8 damage, then an agile weapon, like Light Hammer. A Bola if you do not want to kill, or when you
fight a Skeleton (they are resistant to slashing and piercing).
Returning retreives the weapon only after a Strike, which a Trip attempt is not. So if you plan on tripping from a distance, you will need a Thrower's Bandolier.
One more rune
The Thrower's Bandolier + Quick Draw does mostly the same thing (if the enemy has not special weaknesses, like most) as a Returning rune. The first does not cost a rune however. This does not matter much on level 3, because there are no great runes for thrown weapons beside Returning below level 8. Then you could get an elemental damage rune, and you have more feats to affor Quick Draw.
Free Hand
With Thrower's Bandolier and Shurikens or Quick Draw, you can have a hand free. A Returning weapon will come back to your hand, occupying it.
However, other than Thaumaturges it is hard to imagine a throwing builds that cannot afford a hand that is always occupied.
Maneuvers
@Ifusaso raises a good point in the comments, Quick Draw being its own action, it is impossible to do anything but a basic Strike with it.
Most activities like Intimidating Strike and Grab do not work with throwing anyway, but Hunter's Aim or Finishers (with Flying Blade) would. Quick Draw blocks these.
Conclusion
Without Quick Draw, the Thrower's Bandolier is clearly behind in my opinion, unless you have too many actions to burn.
You have to decide if flexibility is worth more than a feat to you. Most likely until level 7 you are better off with Returning, and at level 81 you should switch to a Bandolier + Quick Draw (probably easiest from Duelist). Unless you rely on special maneuvers, in which case Returning remains the better option.
- Or level 9, you might want to buy a Resilient rune first