The Amazon.com loan fail is entirely up to the fact that you are "cheating" the georestrictions inherent in the loan. Which is pretty unfair, but still has nothing to do with the underlying tech and integration
I agree, it would be quite nice to return book directly from the Kindle. And on that note, returning early just changes the date on which they message your Kindle to auto-delete the book.
I doubt Kobo will integrate directly with OverDrive. Amazon only does because they don't support ADE encryption. Pity... it is very pleasant to manage everything from the browser, no messing around with Yet Another Useless Program.