I will try to get a tcpdump file. Doing this in libpq seems challenging as I'm not aware of how to create a portal in psql.
Yeah, apparently psql does something special (like ignoring it...) with its FETCH_COUNT variable (set to 2 below as evidenced by the first query) for the insert returning case. As documented since the command itself is not select or values the test in is_select_command returns false and the branch: