And the game would benefit from this because? If the reason is balance, that already went out of the window when they came up with the game's class system.
A death penalty wouldn't please players in the least and would go against SE's strategy to keep FFXIV running (read: turning the game into an easymode so people can progress faster).
Instead of putting glaringly obvious timesinks they should think about players busy in more constructive ways. If they can't do that, why does this game exist in the first place.
As I said, the 1 anima cost for using Return itself is no big deal, but it adds to the pile of problems this game has and it would have been so easy to just remove the anima cost.