A lot of threatening Psychic-types either have a secondary typing that makes them neutral to bug (Jirachi, Metagross, Victini, Gardevoir, Gallade ) or are so frail that hitting them super-effectively won't really matter (both Zam formes, Azelf, Espeon, Starmie to an extent). Celebi is massacred by Return.
I can see a very niche use for X-Scissor on SD sets lacking Quick Attack to deal with the fattest of fat psychics (Slowbro, M-Bro, and Cresselia) but it's usually better to break M-Bro on the special side. You're best off trying to SD and push through with Return if you're in a situation where Pinsir has to break these threats regardless to maintain some type of coverage, which is either Earthquake or Close Combat depending on the meta. QA is nice because M-Pinsir is always slower than I remember it being....
The power differential between Return and Thrash isn't large enough to make up for the lock-in.