The purpose of the send/return path is to give the user the option of measuring signal level before the drive pedals and "gate" the signal after the drive pedals.
To achieve this, the drive pedals should be inserted in the send/return loop. The advantage of this is very easy adjustment of the threshold even if the drive pedals are gained very high.
(This works equally well in the new Plethora X5 where you can dynamically route the insert to be on the Sentry FX slot if you use 4 cable method)
This is a powerful feature as SENTRY noise gate is a 3 band noise gate so the user can tailor the response to the noise source and have different thresholds for low end (hum) and high end (hiss) which makes this the most flexible digital noise gate solution available.