How can I set returns labels to be downloaded in the "Returns" module instead of being printed via the parcel stamp printer?

Create a new printer as download printer under Administration > Settings > System > Printer, e.g. like this:

Open Administration > Settings > Shipping types.

Copy your DHL interface with the corresponding button:

Give the copied shipping type another name, e.g. DHL_DOWNLOAD or DHL_RETOUREN and set it to active:

Select your created download printer as "Printer parcel label".

Save.