The RETURN key is a remnant from typewriters. On manual machines, teh "return" action eas you actually shifting the lever and drawing the carrier back to start a new line: normally, there was a bell that warned you when you had to return.
Later, this action was mechanized, with a return button. Imagine how happy that made secretaries! I believe the first QWERTY computer keyboards had to be very similar as typewriters: but, there were computer-specific commands that relied on "Enter." As in, when data was entered, at the end of teh "session" if you will, it was logical to hit an "enter" key.
So, I think that is why both coexist today.
There may not be much difference for most of us, but in MS Word I ALWAYS use enter; if you don't, placing taht document into inDesign can be a nightmare.
Anyway, that's how I see it. 🙂
PS: I need to change my avatar.