This is intended to maximize the amount of diesel purge that is being circulated through the pump and injectors. Without the return line going back to the source bottle, only a fraction of the diesel purge will be introduced to the system with the majority going to the return loop back to the tank. It is also standard practice to replace the fuel filters after the diesel purge procedure. The secondary fuel filter should not let any big particle past that could damage the system.

TimK

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EPA 609 & 608 HVAC Certified
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83' 300D Turbo - 300K + Miles
00' 1.9L TDI Beetle
85' 6.5L Turbo, GV-OD, GMC Suburban,
67' 2.5L Diesel NA - Land Rover Series IIA

Here's what you do if it's so cold your diesel fuel gels. Smear some on some toast and stay inside until it warms up outside.