Right click on a selected track and selected “Add an FX Channel to Selected Channels…”
You’ll wind up with a matrix of sends where the width of the matrix is equal to the number of tracks you’ve sent, and the height is equal to the number of tracks you’ve sent multiplied by the number of FX returns you’ve created.
I can’t tell if this is a programming oversight (which could probably be fixed by creating the necessary number of sends before activating any/all of them?) or if this is an intended feature as working (in which case, I’m wondering if there’s a way to turn this functionality off - it’s an obnoxious number of clicks to get them removed.