I hope I can add some further insight to what others have said. The main reason eval isn't working the way you expect is that you're evaluating a statement, which can't have a return value (as opposed to an expression, which can have a return value). The eval function can evaluate either but only returns values from expressions, not statements.
MATLAB makes a strong distinction between statements and expressions. Statements are "things you do" -- lines that end in a semicolon, or like Joseph Cheng said, "what you can type in the command window." Examples include assignments, if statements, and other things. Expressions, on the other hand, are bits of code that have a value, like 1+2 or sin(2*pi*(0:0.01:1)). Expressions can be used inside of other expressions.
You can use an expression by itself as a statement, in which case it's equivalent to the statement ans = expression. However, you can't use a statement as an expression. In other words, statements don't have a result or a return value.
The eval function makes the same distinction. If you evaluate an expression, it can produce results, like a = eval('1+2'). But if you evaluate a statement or a sequence of statements, as you are doing, eval can't return any results, since statements don't have results. Another example: a = eval('37') works, since 37 can be interpreted as an expression, but a = eval('37;') throws an error, since the semicolon forces eval to interpret the string as a statement, and a statement can't have a return value.
The reason that the statement
eval('if a == 30, a = 75; else a = 42; end; 37')
prints out ans = 37 is not that eval is returning a result. The ans printout actually comes from inside the eval. You've got a sequence of statements, and the final statement is 37, which is equivalent to the statement ans = 37. The last statement doesn't end in a semicolon, so the value of ans is printed out. To prove that the printout is coming from inside the eval, try doing this (be careful to note the semicolon placement):
eval('if a == 30, a = 75; else a = 42; end; 37;')
Nothing prints out, because the eval has no result (no return value). But if you try this (note semicolons again):
eval('if a == 30, a = 75; else a = 42; end; 37');
then MATLAB still prints out ans = 37. The outer semicolon silences the eval (which has no result anyway), but the result from the 37 is still printed.
One more point: You asked "when and why functions are considered to have return values." The eval string is not considered a function (even though it might look that way when you're eval'ing an expression and using the results). But to answer your question directly: If you use a function in an assignment, the function must have at least as many outputs as the assignment needs, e.g. [maxval,idx] = max([3 4 5]). If you use a function in an expression, the function must have at least one output and only the first output is used, e.g. a = 1 + disp('hi') fails, and a = 2 + max([3 4 5]) succeeds but ignores the extra outputs from max. If you use a function call as a statement by itself, it doesn't need to provide any outputs, but if it does, the first output is assigned to ans and the other outputs are ignored. 
