KPA in the Effects Loop

Yes, I think you should be able to do that, as long as the EVH Return is active when the Send is not being used.

To confirm the Kemper is sending a signal, press the Output button, and look at the volume setting for the Monitor Out.

Looking at the schematic, I think Return should work without something in Send. Do you have the FX-Loop activated via footswitch?

Not too sure why that isn't working. Is the loop working with other gear?

I would make sure that the effects loop on your evh doesnt require the amps foots witch to use. I remember one amp I had, a Carvin 100xb I had to plug in its footswitch for the loop to be active. Otherwise it wasn't. In your case, that could explain why you're not getting any sound.
Also hit the output button on tje keeper and check that the monitor output isn't off.

an easy way to check is to put any simple effect pedal in the evh loop and plug your guitar into the regular guitar input on the evh. Then turn the pedal on and off, if you can't hear the effect, your loop on isn't active

Excellent!