If you are intent on optimising CGI::Application, from a quick glance only, there seems to be plenty of scope for it that will probably yeild greater benefits than the removal of return statements. That said though, there is probably nothing else that will yeild benefits for so little effort :)

If you choose to test it, be aware that there is one type of return statement that your shouldn't blindly remove:

    return;  # Otherwise, return undef
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Omit that bare return and you will change the result.

Also note: I've never used CGI::Application, so bear that into your considerations.