Does anyone know whether Ulmo ever returned to Valinor?
Despite the fact that Ulmo prefers to dwell in the waters, and despite the fact that he still visited Middle-earth, he frequently goes to Valinor for councils.
He was present at the discussion that decided Earendil's fate, for example:
There's no reason to suppose that there's anything preventing him from going to Valinor whenever he wishes.
Yes, Ulmo visited Valinor
If nothing else, he is specially mentioned as coming to the council of the Valar that decided that the Elves would be brought to live in Valinor.
However, it's not really correct to say that he "returned" to Valinor, as he never really lived there.
In the Valaquenta, the short essay at the start of The Silmarillion that introduces us to the Valar and the Maiar, we are told that Ulmo doesn't stay anywhere for long, or indeed use a body when he can avoid it.