A return label is included automatically with the orders coming trough API. If the order is made manually on myOGO, the return label needs to be added also manually.
Go to myOGO edit merchant page and click on "return label included".
Fill in the order details and click to save.
After saving the order, PRO-services are enabled and the option "return label included" is visible. Click to select it and remember to save the order again.