Hi Laurentiu23,
That’s correct the Shopify GraphiQL Explorer App doesn’t have access to the returns scopes at this time.
Currently the next simplest alternative would be to [create a store based custom app] and use the secret key from that in an API testing tool like [Insomnia] or [Postman].
The read_returns and write_returns scopes are available [in the Admin API scope selection list] for store based custom apps.