Well, I have seen Returns show up on the Z-out, but not credit used.
I'm looking at the z-out for the most recent date we applied a credit, and it shows: Drawer amounts, Cash, Credit Card, and Recorded Payments in the upper section, none of which include anything with credits. Then there are Department Subtotals, Category Subtotals, Cashier Subtotals, Payment Detail, Served, and Drawer Open - again, nothing about credits.
Under Payment Details, one of the credit card transactions that shows up is for the net amount after credit for that transaction, but no mention anywhere of the credit itself - at least, none that I notice.
If it would help, I could email you a pdf of both the z-out and the receipt for that transaction.