You can only Return True if the Function returns a Boolean, but if the Method does not return a value, you can just use Return to stop further execution of the method. However, you scenario is a bit different. Returning from the MouseUp event is not going to stop the Change event from firing. What most of us do in that case is to create a Window boolean property (i.e. ProhibitChange).
At the beginning of your Change event put
If not ProhibitChange Then...
//the rest of your code
End if
Then set Prohibit Change = True when you don’t want the event to fire.