Fuel should only flow to the return when cranking (injection pump turning), but the lift pump should provide pressure any time it is powered. Any air in the system should push out the return line as it's cranking. If it continues to get more air once bled, you have a leak on the suction side of the system (a pressure side leak will leak out fuel), or the fuel level in the tank is too low.

If you had air in the system, then bled it out via the filter bleeder, the injection pump, injector lines, and injectors are still air-locked. Once you confirm fuel flow/pressure, with no air, remove some glow plugs and crank until you get fuel mist from the GP holes. Keep the batteries fully charged and let the starter cool after a few seconds of cranking. It may take several attempts, about 15 seconds cranking, 2 minutes cooling cycles. Longer cranking, less cooling, or discharged batteries make the process longer, and can damage the starter. Removing glow plugs shortens the process significantly.