A check valve would offer you the added protection if the return line developed a leak somewhere aft of the purge valve. Since most of that is higher than the fuel tank, I don't see where a check valve would offer up much for the complexity or cost.
Just FYI for archive purposes, on my last Rocket, I used a dual version of the Andair fuel valve, which is essentially two fuel valves in one. I plumbed the purge line to the second valve and routed the returned fuel to the opposite tank that was selected, That way, you didn't have to think about it when opening the purge line and running the fuel pump.
With that said, it was very complex and required a lot of expensive AN fittings. It worked, but probably was not worth the cost and complexity. It would be nice if Andair offered up a version of their fule valve that would do this automatically. I would think there's a market for this.