Yes, this is correct, if the last statement of a lambda is an expression, it is considered its return value.
Here's what the reference says (thanks @KirillRakhman):
We can explicitly return a value from the lambda using the qualified return syntax. Otherwise, the value of the last expression is implictly returned. Therefore, the two following snippets are equivalent:
ints.filter {
    val shouldFilter = it > 0 
    shouldFilter
}
 
ints.filter {
    val shouldFilter = it > 0 
    return@filter shouldFilter
}
The last statement semantics is also true for if (that's why there's no ternary operator), when and try-catch blocks, and these statements are expressions themselves:
val foo = if (bar) { 
    doSomething()
    baz 
} else { 
    doSomethingElse()
    qux 
}
See also: examples for when and try-catch.
So, lambdas are consistent with the language constructs in this respect.
If you want to make an explicit return statement in a lambda, use the return@label syntax (also, another answer with examples). Non-labeled return, on contrary, works with the nearest fun (ignoring lambdas) and thus can only occur in those lambdas which are inlined.
There was a language proposal to add special syntax for emitting a value from a code block, but it was rejected.