It depends on how the FX Loop is implemented in the amp. sometimes it inserts the effects between the preamp and the power amp. In this case, it's a good place for time-based effects like delay and chorus.

If your amp has a level control for the Effects Return, the pedal should be set for full 'wet' (no un-effected signal) because the amp will mix direct ('dry') with effected ('wet') signal. The main advantage of an effects loop is that you can chain several effects in the loop, leave them ON full-time, and switch them all IN/OUT with one switch (for the FX Loop).