I would say yes, he should go back. It seems to me that the demon world doesn't have much to offer him. More power and a greater risk of death but nothing to really exist for. The Human Club may have that.
it would be really interesting if something had happened to the Human Club in his absence and they needed him....
Well, the human club seems to be aiming for the 'better' parts of humanity. Forgiveness, togetherness. It seems unlikely that they're out for vengeance/revenge.
As for going back? Grey seems immature. Not as a derogatory term, but just that he hasn't developed a self of his own yet. He doesn't have strength/belief in who he is. Learning takes place anywhere, so it doesn't matter where he goes, but I think that 'lessons' learnt alone and/or in a harsher(?) environment tend to teach you more than a 'diluted' environment.
Then again, that's only if he valued knowledge/sense of who he is over other goals/ideals. If demons are simply primal on top of rational, it makes sense to belong to a group. Higher security, increased chance of 'success/prosperity'.
It has been a long time since I last saw this comic - to be exact, it was way back when it was on drunk duck comics. That particular group vanished and I lost contact with it. Now, what feels like years later... I find it again and read up.
I have seen a number of messages just like this, but its entertaining no less to be able to come back from ages ago and find it. You keep making this series, and I'll keep readin'. xP Good work with your very curious content.
-I'll Be Reading.
Personally, I want him to return to the Human Club. I liked that place and I think that they were good for him.
Story wise though, I think that it would be better to progress this story away from them. For now at least. I would -love- to see Saturno return to that group at a later date, maybe once he "matures" as bit, as one other user had said.
Personally I would like for Saturno to go back to the human club because watching relationships develop is entertaining.
However, knowing Saturno, he's probably not gonna go since he felt oppressed last time he was there. Either way I'm super curious to see what happens.