Someone else was asking about this a while back. Presenter
doesn't capture information about custom shows and show and return.
It works on a linear process. For example if your custom show was
displaying slides 5,6 and 7, when you click an action button to
show the custom show it will jump to slide 5, but then doesn't know
what else to show.
You can use action buttons to move forward, backwards, go to
a specific slide and also show hidden slides. Last viewed slide
doesn't work.
Probably not the answer you wanted to hear but I hope it
helps clarify what I have found out.