Hi,
There are no prices and thus no payment required on your shop.
So it's normal the payment method is not taken into account since a payment method is only when the total amount is greater than 0.
Change the shipping to be 0.01 instead of 0 and you'll see the payment method on your checkout and then the return URL of the payment method will be taken into account.
Now, if you want a specific return URL while having no prices, and thus no payment method, in your shop, then you should edit the checkout/end view file to add the redirect yourself with a bit of code like this:
<?php JFactory::getApplication()->redirect('RETURNURL'); ?>
where you replace RETURNURL by the actual URL