The audio input is a send to VE Pro as a type of external device. The 'return' is an instrument channel from VE Pro. Is this different for PT? As typically as not, for me the input in VE Pro is assigned to its master bus, for instance the reason to send to VE Pro is for reverb. I don't necessarily create additional [output] channels on the VE Pro side so there aren't necessarily additional 'returns'.
It is not really an insert; it does not effect anything in the DAW host. It is configured in the insert manner, but it is a send to the VE Pro server (if the simplest way is utilized, one channel rather than two with a send level to the second, it is a send at unity gain). I may be just confused myself but this [then is cut/blocked by it on the Audio track (cannot use additionnal insert and sends after the "VEP Audio Input" Plug-in instance)] seems like a confusion of the concept.
IE: these *are* two different things. I don't know what 'blocked' means there. The channel in VE Pro as an effect is not the audio channel. It is conceptually the same as an outboard device in the studio. While it is instantiated as an effect, the effect is in VE Pro. VE Pro is not actually an effect in the DAW. The 'insert' is a connection to a device outside the DAW. It is two things per se.