As far as I know, none of them knows why they chose to return.
Some speculate Shashara returned to create Nightblood, and Vasher returned to do something on Roshar (since he's a character in the Way of Kings prime), but there is a Shardcast on the Five scholars where they go into more details, if you're interested.
Also, Vasher did kill all the others, except Yesteel, who's said to be "specially sneaky", what ever that means.
flaemy's post in Does Vasher (or, by extension, any of the other Five Scholars) know [REDACTED] was marked as the answer