NOT A TEACHER
Hello, Mc_fong:
This kind of sentence used to confuse me, too, until I found an explanation from a great scholar. I have accepted his explanation. I shall share it with you, and then you can decide for yourself whether you want to "buy" it.
"They returned home. They were disappointed."
"They returned home disappointed."
Which example do you think is more natural and smoother? I think that you have chosen the second.
IF (if!) I understand him correctly, the great scholar would explain your sentence this way:
a. Yes, "disappointed" is an adjective that refers to the subject "they."
b. But the adjective "disappointed" modifies the verb "returned."
c. He quickly agrees that an adjective does not usually modify a verb, but it does in this kind of sentence.
d. Therefore, the adjective has the force of an adverbial element.
*****
Here is a sentence from the scholar's book: "He was drowned bathing in the river." ("Bathing" is an adjective in that sentence, he says. It describes the subject and modifies the verb. In other words, it is a shorter way to say "He was drowned while he was bathing in the river." "While he was bathing in the river" is an adverbial clause that modifies the verb, isn't it?)
Credit goes to George Oliver Curme, A Grammar of the English Language (1931), Vol. I, pp. 42 - 43; Vol. II, p. 30.
P.S. Thanks to Professor Curme, I was able to parse this sentence recently: "He mounted the scaffold steps unaided." (Gavin Mortimer, Double Death)