I see your point. Perhaps he's covering his bases by returning them, in case Marianne makes a scene and asks him to return them later.

However, I do think that Sophia found the hair and the letters, because otherwise I think Willoughby would have held on to them secretly.
As to why he had them on his person and not kept somewhere else, my thoughts run on two tracks. One, he's the kind of sentimental fool who likes to torture himself by keeping alive his 'idea' of Marianne's love while being 'forced' to love another by keeping the very tokens of those love in his pocket...more of his loving to be the victim and the rebel. Two, he could be afraid that a servant looking through his things would find them, so he keeps them close.

As far as the 'affections engaged' lines, I think we both have good points. Both Sophia and Willoughby can benefit from having that clearly stated. But I had not thought about how W. could have put that bit in on his own to placate Sophia. What a cad!