Greetings! Thanks for writing, and thanks for your concern for RLDS people. You have asked why RLDS believe Jesus will return to Independence, Missouri. It all has to do with Joseph Smith's teaching that his church was literally "Latter Day Israel." I talk about this subject in depth in chapter 3 of my book, Part Way to Utah: the Forgotten Mormons. You might want to check out that chapter for a more thorough discussion. I will try to give a short answer here.
Joseph Smith taught (erroneously) that his church was a latter-day restoration of the entire tribe of Joseph, comprised of the tribe of Ephraim and Manasseh. American Indians were held to be the remnant of the tribe of Manasseh, while the English speaking part of his church were held to be of the tribe of Ephraim. He further taught that Independence, Missouri was the Lord's "promised land" to these restored Israelites, the "New Jerusalem." His church would build the Lord's temple there, to which He will return at the end of time. The Lord's return to this temple is confirmed in Joseph Smith's own scriptures--but nowhere in the Bible. Here are two short quotes out of Joseph Smith's Doctrine & Covenants.
"...the New Jerusalem [Independence, Missouri] which is hereafter to be revealed, that my covenant people may be gathered in one, in that day when I shall come to my temple [in Independence]. And this I do for the salvation of my people." (D&C 42:10c)
"And the graves of the saints shall be opened, and they shall come forth and stand on the right hand of the Lamb, when he shall stand upon Mount Zion, and upon the holy city, the New Jerusalem [Independence, Missouri], and they shall sing the song of the Lamb day and night for ever and ever." (D&C 108:10d)
The Old Testament prophet Malachi records the Lord's own promise, that He will indeed return to His temple, " 'Then suddenly the Lord you are seeking will come to his temple; the messenger of the covenant, whom you desire, will come,' says the Lord Almighty" (Malachi 3:1). But this temple will be the end-times temple which will yet be built in Jerusalem, not Independence, Missouri. For a closer look at Joseph Smith's concept of Zion, you can also take a look at our tract, Zion and Joseph Smith.
Paul Trask