In the first case consider what is happening:

(return something()) or (croak "Something didn't work.\n");
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return will always return. Interestingly, it may return a false value (return 0; or return undef or return ''; or even return ()). But it will certainly return. Once it has returned, the subroutine is done. There's no way to ever reach the low precedence 'or'. It's like hanging up the phone before you ever hear the other party ask a question.

In the second example, it's like this:

return (something() || croak "Something didn't work.");
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Now something() is evaluated, and if it is false, then the || evaluates the righthand side, which is the croak call. Croak throws an exception and consequently control is never handed to the return.

Before return can run, its arguments must be evaluated. In the first example its argument is something()'s return value. In the second example, the expression is the entire construct including the || croak.