You don't need to spend an action equipping it if you plan on throwing it again, you can simply throw it from the throw menu without it being equipped.
I've found that returning weapons failing to return typically happens when attacking from out of combat, somewhere in the process of determining initiative and starting a round, the weapon "forgets" to return to the wielder. I'll usually keep a handful of non-returning weapons that I'm not going to miss (rusty spears with no value for example) to use in these cases.
