In Purchase & Payables Setup, there should be a Posted Shipment Return number series. However, this may not be the case. You would want to set this and start a new return as the header isn't populated until this setup field is set.
Did you start your company from the "wizard?" I have found that using the wizard to start a company sets all the number series, at least for all the series I tried. I also find it easier to use the wizard and then wipe the chart of accounts, general posting setup, and specific posting setups than really try to start a "blank" company in D365FOB.
If the field is not there at all, I can take a look at my setup and see if it is a version issue... but last time a field wasn't available in Purchase & Payables, it required a bug submission to get it fixed.
