As the worg doc says, if you want to capture stdout rather than a value, you need :results output.  The default is :results value (which in session mode is the last expression executed, and in non-session mode is whatever you return().)

I agree it is a little odd, but given how python works it's not clear to me how to improve it.  Specifically, in non-session mode, the python interpreter is run as a separate process and fed the input (with some stuff around it).  There is no way for python to get "the last value" in non-interactive mode, so instead ob-python wraps your code in a function, then calls it, and writes the return value of that function to the temp file.  Conversely in session mode, each block is talking to the same interactive python interpreter, just what you get if you type 'python' at the shell.  So using return() there doesn't make any sense, and wouldn't work.  I don't see any way to make them both behave the same way.