It is part of similar conventional thinking that "a method call must return back to the caller on termination".

No, it's a part of a conventional thinking that "if a return statement executes without any exceptions thrown in the process, then the control will return from the current invocation". It's an extension of a conventional thinking "if an e.g. assignment statement executes without any exceptions thrown in the process, the control will go to the next statement". Really helps with reasoning about the program behaviour without spending an undue amount of brainpower.

But what is the alternative otherwise?

Disallow "return", "break", "continue", and "goto" statements inside "finally" blocks, like C# does. Nobody sane misses this functionality anyway.