No, it works like that on mine. How amazing that I never noticed!
The habit of using Enter has been so ingrained for so many years that I never tried pressing Return before now. Has that always worked? I suspect that it didn’t at some point in the past, though it may be you have to go back a long way. Or perhaps I've been mistaken about this for decades and never realised…
The only thing I really use this for is renaming files in Finder: select a file and press Enter to edit the filename.
Are there any other apps in which it does something useful nowadays?