Hi Kevin and welcome to the forum,
To the first question, returns policy really depends on your supplier when dropshipping, each supplier may well have a different policy so you need to be aware of each suppliers policy when dealing with multiple dropshippers and develop your own returns policy around that.
In regards to your second question. I think it's important to firstly understand the difference between dropsipping and wholesale, this link will define that for you. general/what-s-the-best-supply-resource-for-me-t15293.html
In regards to private branding, this is something usually offered by manufactures/wholesalers, but not dropshippers. Dropshippers will not put their own branding on the item to protect you, but will not typically brand for you. If you were in fact able to find a dropship supplier prepared to provide you that level service, I'm quite sure it would come at an extra expense and margins are already tight on dropshipped items, so you would have to weigh up any cost benefits to yourself to have that done.
If you wanted to do this, your best chance would be to have the items sent direct to you for you to brand, then on send I would suggest. The problem with that is extra shipping expense and delay in shipping time to the customer, two things that you really have to watch, especially when dropshipping.
So possible for you to do, but not advisable in my opinion because the disadvantages far outweigh and benefits to yourself and your customers.