I live in Winnipeg, a bit colder than you.
You don,t have to have a return vent in downstairs rooms to be comfortable. One or two good sized supply is usually all that is needed. We sometimes install them in rec rooms as people sit there and get uncomfortable. Bedrooms people don't seem to mind. Personally I use baseboard heaters because they give you individual control and heat in Spring and Fall when the furnace runs very little. Very rare that I see a return in a bedroom here. Better to suck the air and circulate it upstairs. Robbing Peter to pay Paul if you take it from downstairs.