I bought a cheap day return from Paddington ("London Terminals"), but
on the return journey the train stopped at a station which was more
convenient, so I got out. I was expecting, especially after following

Cheap day return tickets allow you to break the journey on both the
outward and return trips.

From the National Conditions of Carriage:

"16. Starting, breaking or ending a journey at intermediate stations
You may start, or break and resume, a journey (in either direction in
the case of a return ticket) at any intermediate station, as long as the
ticket you hold is valid for the trains you want to use. You may also
end your journey (in either direction in the case of a return ticket)
before the destination shown on the ticket. However, these rights may
not apply to some types of tickets for which a break of journey is
prohibited, in which case the relevant Train Companies will make this
clear in their notices and other publications."