The return valve is to dial up the skimmer so it is set to produce the type of foam you are looking for. Most people start with the valve wide open and then gradually close it until they have the desired level of bubbles. With your skimmer being new, dialing it will be a little hard because the skimmer is not stable enough. Once the skimmer breaks in, most people find that "sweet spot" and leave it. They usually don't adjust the skimmer anymore even for cleanings or water changes. You would only need to adjust the skimmer if you have a drastic change in the system such as upgrading to a bigger system or adding more volume to the system or substantially increasing the bioload.
Here is a great article on how to dial a skimmer:
http://www.coralvue.com/support/317511-How-do-you-dial-in-a-protein-skimmer
In regards to the drain hose, it is meant to be used with a collection cup or container where you can have the skimmer drain all collected into this collection cup for easy disposal. Also, it allows you to run the skimmer longer without having to remove the collection cup because it is almost full. Here is a link to our link to our waste collection container. The skimmer drain hose is connected to this so that all excess waste is stored here.
http://www.coralvue.com/waste-collector-with-auto-shutoff
It also servers as an automatic shut off in case your skimmer starts to overflow. It prevents the skimmer from draining your entire tank.
HTH,