When you use return it will exit the whole function.
Its just if you use return PLUGIN_HANDLED in register_event() no other plugin below yours will be able to use the event but if you use return PLUGIN_CONTINUE it will still allow all other plugins to use the event.
To exit an if statement early it is 'exit' . To exit a switch() early it is 'break' to exit a loop, could be a for loop or while loop, you use 'exit'. To stop the rest of the code for that iteration of the loop you use 'continue'.