I think you're trying to say that you've created several HDFs, each one containing a single hard drive-installable game. You've installed the games into the WBStartup folder, so that they will load without you needing to click any icons.
The problem that you're having is that Workbench tells you that the game has not "returned". The solution is easy. You just need to add a new tooltype into the game's icon containing the command "DONOTWAIT".