RoyalDispenser :While Return could kill Rotom-W with SR and +2 Attack, it's still not guaranteed, whereas Close Combat is a guaranteed OHKO with SR while having a 56.3% to OHKO with the set you're currently using to calc Rotom-W. And, even without a SD...
252 Atk Mega Pinsir Close Combat vs. 248 HP / 216+ Def Rotom-W: 106-125 (34.9 - 41.2%) -- guaranteed 3HKO after Stealth Rock and Leftovers recovery
252 Atk Aerilate Mega Pinsir Return vs. 248 HP / 216+ Def Rotom-W: 87-103 (28.7 - 33.9%) -- 2.4% chance to 3HKO after Stealth Rock and Leftovers recovery
Against physically defensive Rotom-W, it's fairly obvious that CC is definitely the better option (SD makes it so that both of them net the 2HKO, but CC still outdamages Return, so bleh).
As for your point about Gengar, you know Gengar would completely bypass EQ, right? Not only that, but MegaPinsir does have a guaranteed OHKO on Gengar with a +2 Quick Attack, so yeah.
And MegaPinsir does not wall Aegislash, period. With EQ, it can only be a
check, not a counter.