Try this (assuming you've written the <PhoneReturn> rule correctly):
if(Rule("PhoneReturn") == "")
return 'Tel ' + Field("Direct") + '<br>Fax ' + Field("FAX");
else
return 'Tel ' + Field("Direct") + ' • Fax ' +
Field("FAX") + '<br>' + Rule("PhoneReturn");
Make sure you select "Treat returned strigns as tagged text"
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