That's what the requirement is, installed upstream of any fresh air connections or filters. I think the idea to have it in the return instead of the supply is to detect the smoke before it can get diluted with any outside air. If the detector was in the supply, the smoke will potentially be diluted with fresh air coming in and may not shut down the unit as quick. In some cases depending on the time of year it can be diluted by 50% or more.
Most people get the wrong impression that the detector is to shut down the unit in case there is a fire in the unit, but it's not. It is to stop smoke from a fire in room A being blown into room B.
If you are the designer and think one is needed in the supply also, you can do that. You are going above and beyond the code minimum at that point. I see that done quite regularly on larger air handlers.