You're correct that this doesn't work; however, internally Xdebug uses Zend's zend_do_string() which always prepends "return " to the string-to-be-parsed to be able to return the value of evaluated statements to be passed back. Obviously the string:
return echo "too\n";
creates a parse error. I can't fix this unless I repeat much of the Zend API functions, and I don't think it's worth it. Also, print "too\n"; works just fine (As it's a statement for PHP and returns something).