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:
But Ulmo said: 'For this he was born into the world. And say unto me: whether he is Earendil Tuors son of the line of Hador, or the son of Idril, Turgons daughter, of the Elven-house of Finwe?'
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.
Manwë sat long in thought upon Taniquetil, and he sought the counsel of Ilúvatar. And coming then down to Valmar he summoned the Valar to the Ring of Doom, and thither came even Ulmo from the Outer Sea.
--Of the Coming of the Elves and the Captivity of Melkor (The Simarillion, Quenta Simarillion)
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.
Ulmo is the Lord of Waters. He is alone. He dwells nowhere long, but moves as he will in all the deep waters about the Earth or under the Earth. He is next in might to Manwë, and before Valinor was made he was closest in him in friendship; but thereafter he went seldom to the councils of the Valar, unless great matters were in debate. For he kept all Arda in thought, and he has no need for any resting-place.
Moreover he does not love to walk upon the land, and will seldom clothe himself in a body after the manner of his peers. If the Children of Eru beheld him they were filled with a great dread; for the arising of the King of the Sea was terrible, as a mounting wave that strides to the land, with dark helm foam-crested and raiment of mail shimmering from silver down into shadows of green.
-- Valaquenta (The Simarillion)