Maybe they return for a bigger purpose than what's happening on Roshar. Like starting their own version of 17th shard, and manipulate events around the cosmere to suit their purpose. It's a long shot, but I like overall, the Heralds will have big part to play in the overall cosmere story line. And it might be Szeth that informs the KR of what the Heralds, individually or in a group, are scheming. Could also factor in to him slowly earning the trust of Kaladin and the the other Knights.