Jon,
The standard login form is a bit different. While it's good it works, that's a much simpler case.
As for what you're looking for, can you tell me what you have set for the New User Redirection setting in JFBConnect? I'm assuming you have it disabled (to leave the user on the same page) while you have a specific menu item set for the returning user redirection. That could explain why one works how you want (we either use the return variable or leave them on the current page) and one doesn't (we always use the menu item redirect).
If that's the case, there's probably an easy line or so of code we could change, but it isn't something we'd likely add to JFBConnect permanently. Just let us know.
Thanks,
Alex