Mac user here. I've never given it much thought but you're right.
Return is a holdover from typewriters. It means "return the carriage to the left margin". I'm surprised the Mac keyboard doesn't say "Enter". It seems like a much more accurate word to describe what the button does.
Yes, "Return" applies in the context of editing text (return the cursor to left margin) but not in any other context on a computer I can think of.
I wonder why they continue to label it return and not enter.
/end random musing
edit: Downthread, someone provided a link to a StackOverflow page explaining how MacOS treats enter and return differently in some rare instances (it's program specific).