This article applies to enclosed return slips (Beilege-Retoure), not to online returns.
For online returns, the address can be configured in the DHL account.
In the DHL Shipping module version 1.x for Magento 2 the receiver address for return shipments cannot be modified. The default address of the shop is used.
In module version 2.0.0 the return address can be configured in the module.
In the code, the address can be modified in the following section: