The only reason returning in the middle of a loop might be "bad" is that it's generally frowned upon by "professional" programmers, i.e. so called Code Grammarians (so called by me).
Ever heard of getting the job done? I don't care what other people think my code looks like.
I would say it matters when using C++ and working in a team where you need to enforce coding practise, but in Blitz? nah :)