You'd think that wouldn't you? You think that surely they would do many things. My domain is blacklisted from the place I work, but a made up domain that in no way matches my ip and can't even get bounced back works. (And this is better than it was.)
The format would be:
mail -a "Return-Path: email@example.com
" -a "Reply-To: firstname.lastname@example.org
" -a "From: email@example.com
with a space between the colon and the address.
To truly change the return-path, you'll need to edit /etc/email-addresses. (If you're using exim.)