Because no signal is transmitted on the outside part, that is just used to secure the cable to the port. If you look at a coax cable, you will see it is essentially a copper wire wrapped in shielding wrapped in a vinyl(?) casing and the end is terminated with a connector that feeds the copper into the port and secures the connection.
I think that DirecTV setups transmit power and control signal through the shield. A given wavelength carries two polarized signals and the control signal tells the LNB which polarization to watch for. (or maybe I've got it all wrong, but this is what I've gathered from setting up and troubleshooting my own)
You are right, though satellite transponder frequencies with different polarizations do not typically share the same wavelength. With alternating polarization they are offset by (presumably) half the frequency separation needed for identically polarized signals.
I don't think coaxs have a 'return' on the actual cable. The outside part of a coax is just a screw for holding the cable in place. It could be made with plastic for all it matters.
