Upvote:2
In your visa application you will describe your planned itinerary. If you list your arrival, departure, and all statesin between, there is no problem at all with a round trips. (There are rules to determine which embassy would handle your application.)
Even if you mentioned only one destination country in your application, you can arrive and depart through other Schengen states. But for a first trip it is a good idea to spell it out in the application and to stick to the plan.