There has been a lot of information in this tread. Most of it seems to be accurate, but accuracy often need to be tempered with a little common sense.
Many people site smell as the reason for not having return air ducts in bathrooms and kitchens. Just about all bathrooms and kitchens have supply ducts. If you push air into a room, an equal amount of air has to leave the room. In typical bathroom, air can exit either through a bathroom vent (which is normally run for only short periods of time) or through an open door. Most kitchens don't seem to have doors these days, and only a small percentage seem to have vents to the outside. Even though these rooms don't have return air ducts, the air and the smells are being returned in some fashion.
Supply ducts are often placed above or below windows in an effort to maintain an even temperature in a room. However, some houses (like mine) are designed (by the location of light switches, electric outlets, cable outlets, etc.) so that the only logical place for a bed in a bedroom is directly in the path of a draft from the supply duct. A different type diffuser could direct the supply air in a different direction, but it doesn't make much sense to run a longer duct to an outside wall, then install a diffuser that directs the airflow to the other side of the room.
Having separate return ducts for each room makes the most sense in situations where the rooms are "sealed" off (most often by doors). Transom grills can be effective air returns, but are more prone to transmitting light and/or noise between adjoining areas. This may be more of a problem with bedrooms.
In my humble opinion, having a separate system entirely located on the second floor would give you the "best" HVAC. However, I doubt that your floorplan was designed so that HVAC was given the highest priority.
As a side note, now would be a great time for you to think about where you may want to install curtain rods, towel rods, etc. and install some wood blocking behind where they will be mounted.
Knowing now I would have pulled out the master bedroom the extra 3 foot to match the main floor and put it up stairs in my closet.
Good idea on the curtain rods. I was planning on doing it but completely forgot.