Yes, you need a return. With a return, the bubbles that will get into the line can escape through the return line. Otherwise they can only get out through the float bowl. This can have significant negative impact on performance! If you return into the duck foot or a surge tank, then you can use almost all the fuel in the tank.

The only negative I see is that you must change your filter more often, not like every month, but like every 6-8 races.

Mike