Return links are an extra/optional feature you may add to a KB site. Without them, one can still return to the KB frameset by pressing 'Back' in the browser. However, return links do make sense if you are ready for an extra little effort to implement them (see Reasons for Return Links).
Implementing return links requires some JavaScript; if not familiar with JavaScript, you may still give it a try, as we provide all you need to just copy and paste some blocks of code - see Implementing Return Links.
Are return links part of the KSW
generated code?
No, because they need to be present on every topic (you'll probably add them to your
topics' header). KSW limits its input to the ksw folder,
so that you can keep your site under control, without interference from an external tool.
But even so, adding return links is just a one time operation.