Rules say refs dont need to warn skaters before issuing a warning (official rules test agees). But, "Failure to Return" penalty can only be issued once an Out of Play warning has been issued. What is going on?
Simply, the "Out of Play" warning is NOT a warning that the skater is about to get a FTR penalty. It just happens to come before you get an FTR penalty.
If a penalty did have to be issued, you'd hear "out of play!" "Failure to reform" "whistle (colour) (number) Failure to reform Major".