A free-return trajectory doesn't enter orbit around a body, indeed its appeal is that if your propulsion fails while on such a course, you'll coast home "for free" rather than enter orbit around your target or drift into deep space.

Entering orbit almost always requires an orbital insertion burn, and in the case of an Earth-Mars Hohmann transfer definitely does.

Your point stands though: returning from a fly-by (including a free-return) requires much less fuel than returning from orbit, and even that's much easier than returning from the surface.

For fun, take a look at rotovators (AKA "momentum exchange tethers") that could make orbital capture/departure—and even landing/launch—"free" on bodies with minimal atmosphere.