You could also say they just don't know how, even if they have the knowledge that they can. Only that it's "possible."

Or maybe there could be a glitch with their string that makes returning impossible at the time, for characters who wouldn't technically stay. Like, they have to be around for a month (x amount of time) before the String is stable enough to tug the character back on their own free will. That could be dependent on the character. But if they need a reason, there can be ones made up on the fly, I guess.