Yes you can do that as well but it's something I would rather use when simply layering sounds in order to thicken them or get something sounding more wide. I find that you have more controls using returns effects tracks, first you can automate your sends amount to the return track(s) and I find more visual to add effects on the return track(s) than inside a new chain that you have to open each time. Doubling the chain with the full instrument can also be resources consuming sometimes and in the end you have only one channel output that you can control.
To keep things more visual & get even more control for post-processing the output of the return track(s) what I often do is to create a group from my dry instrument and then add audio track(s) inside this group and set the return track(s) output(s) to those audio track(s) input(s) inside the group. Your audio track have to be set to "in" to get the signal out.
You have control of the sends, control on the return track(s) and control on the wet signal(s) thanks to those audio track(s) in the group, it's more easy to visualize & write your automation and you also have final control on the group itself to blend everything together and eventually use automation again on the group if needed.
Well it's a question of workflow and preferences I guess, Live is quite flexible for that. I never got to use FL Studio TBH, I only have a demo version to test things out, never really like the interface & workflow. I'm slowly trying to use & learn Bitwig Studio these days, the modulations possibilities are just insane with this DAW and the modular environment "The Grid" where you can create your own sounds & effects patches is quite impressive too but it takes quite a long learning curve I believe.