It all depends on how you plumb your system.

Greasel recommends it because their system loops the return line when your running on veggi. In this instance you can actually siphon diesel out of the diesel tank though that banjo bolt. But again thats just due to the way its plumbed.

Personally I'd run a return line to your veggi tank. Thats what I have done. First and formost it eliminates the worries about air leaks. Since the air won't be trapped in the line it will run back to the veggi tank. Second the warmed excess oil runs back to your veggi tank. (For me in FL this is enough for me (ie. no coolant lines).
Lastly that bolt is nothing. My valve switches right at the point where the metal diesel lines come into the engine compartment. Unless my vavle is leaking there is no way for diesel to flow when I am switched to veggi.

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'84 300CD Turbo 132k (Anthracite Grey) - WVO - My daily driver - Recently named coo-coo-coupe by my daughter.
'84 300D Turbo 240k (Anthracite Grey) - Garage Queen
'83 300D Turbo 220k (Orient Red) - WVO - Wifes daily driver

I'm not a certified mechanic, but I did stay at a HolidayInn Express last night.