They can't be the wrong way round, or you would get no effect as well, which doesn't seem to be the problem. So I think it must come down to the phase issue, which is surprising as I've not found it makes that much difference to the volume. But having thought about it there may be another possibility - if the output impedance of the pedals is quite high, they may not work well with the input impedance of the Return jack on the amp, which is quite low (basically the 25Kohms of the Mix pot). I wouldn't have noticed this with my set-up, because the MXR in my loop is followed by several other pedals, all with low-impedance buffered outputs.
To fix this, you may need to run the pedals in a buffered loop pedal, like the Boss LS-2 Line Selector, or follow them with some other low-impedance, fully-buffered pedal (any Boss/Digitech etc will do, if you have one you can use to test it).