Hi,
When you have a payment method "bank transfer" and a payment method "paypal" on your checkout (which is a common example), if you want custom return URLs, you usually want to display something different based on the payment method selected. For the bank transfer, you want to display a page with instructions on how to do the bank transfer, while for the PayPal payment method, you just want to display a thank you message and/or redirect to the order details page.
So that's why we have a system to have the setting at the payment method level.
Also, note that it's the plugin who gives the URL where to return to to the payment gateway. So even if there was a way to do that "globally" for all the payment methods, if the plugin doesn't redirect to a generic URL where HikaShop can take the control of the redirection, that would just be discarded.
So to me, there is a practical and a technical reason for why it's made like that.