Return is not required as the transactions are online. However, it is a good idea to print the return for yourself. You should verify the challan figures with those appearing in the printed return. This is a sort of payment confirmation slip. I have seen two cases where the contractor did remit the contributions, but somehow they were not received by ESI authorities. In spite of showing details, the authority did not accept the claim, and the contractors had to 'settle' the cases.