Your understanding of the documentation saying "you can only return columns you use" is incorrect
You can list all the columns you want to return. You can even list results of functions or use values that are nothing to do with the columns at all, like you would in a SELECT:
UPDATE person set age = age+1,location = 'us' WHERE id = 1234
RETURNING id, age, location, name, "first name", gender, "where", CONCAT("first name", ' ', name) as fullname, 1+2 as three
-- "i have name, first name, gender and where not updated"
And as HWNN points out, you can have
RETURNING * .. check your original query for syntax errors