Hi, I don't have the SE but I do have the tonelab and I know some guys who do have the SE. So here goes:
The Send/Return on the tonelab is for attaching an external effects processor, so it is basically the same as the send/return on the amp. It is very important to remeber that the Tonelab is basically a complete amp and speaker cab in one unit without any real amplification of signal.
If you want to use the SE for distortion you need to put it in the front of the amp and set the EQ on the Amp to 5 on everything, as all eq will be dealt with by the Vox.
Alternatively, you can use the Tonelab as a pure effects unit by plugging the send from the amp to the input of the vox and the out to the return of the JSX. THis will make any reverbs,delay or modulation effects really sing.
Check out the manual as it really helps on this.
Tonelab SE manual downloadHope this clears things up a bit.