Note that "Use Ajax actions" requires modal dialogs. The aim of using Ajax action is to do insert/update (by modal dialog) and then refresh the List page without reloading the page.
That means, we have to enable Modal dialog if we want to return back from Grid-Edit to Grid-Edit, also from Grid-Add to Grid-Add.
Just a friendly suggestion, that would be nice when we are setting up those Return Pages, then system will suggest (or automatically) to enable Modal dialog for those related pages.