<disclaimer>I've never worked with threads before, so what I have to say here may be a little off-track</disclaimer>

However.... your question prompted me to have a look at perldoc threads, in which I found:

It is very important to note that variables are not shared
 between threads, all variables are per default thread local. 
 To use shared variables one must use threads::shared.
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So.... after adding the following two lines to your code:

use threads::shared;
share($returnn);
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...I got output as follows:

Doesn't work at all... :(
Doesn't work at all... :(
Doesn't work at all... :(
Run the thread! Variable should be set
It works!
It works!
It works!
...etc
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Which I kindof suspect is what you were after, yes?

Cheers,
Darren :)