Welcome to the forum, @nelson_fretty.
A DI box takes an unbalanced signal and converts to balanced. It may not be what you need there. Dwarf’s output is balanced, so to route it to the RETURN jack, you would need something opposed to a DI box – that is, take the balanced signal and convert to unbalanced, such as a reamp device.
My advice would be to NOT use the Dwarf in the effects loop. Too much trouble, impedance mismatch, and very prone to raise the noise floor. That was discussed at more length here.
UPDATE: @bassyben just posted a very thorough test in which he addresses this very issue. Please check it out.