To monitor FX Send & Return at same time if you select the FX Send PAFL first when you select the FX Return PAFL the FX Send PAFL is disengaged.
Select the PAFL FX Return first then the PAFL FX Send don’t disengage the first selected.
What are your PAFL settings?
I presume you use additive PAFL, but if you have ‘Input Override Mix’ On, then the FX Return (effectively an Input channel) will override the FX Send (a Mix channel) exactly as you describe.
This behaviour is especially useful when running monitors as you might be listening to someone’s mix, then want to jump in and out of listening to individual inputs without having to re-PAFL the mix each time.
Although not as useful (if at all) in the FX screen, it will follow the same rules, which ironically we do to avoid confusion…