SORT-RETURN after the SORT verb contains the condition code passed back from DFSORT.
I don't believe that SORT-RETURN after RETURN/RELEASE is meaningful. SORT-RETURN is the value in register 15. I believe COBOL uses DFSORT exits associated with RETURN/RELEASE. I don't know what RETURN/RELEASE corresponds to in the COBOL program exactly or how it corresponds to the flow with the DFSORT exits, but I suspect that register 15 = SORT-RETURN at that point has nothing to do with DFSORT failing with an ICE046A message.