I think that the OP is talking about a hydronic heating unit. This is setup with a coil, or radiator, in the air handling unit. There is a circulating pump that draws hot water from the heater and pushes it through the radiator coil. Air blowing across the coil is heated, and the cooled water goes back to the water heater.
This type of system requires a check valve in line, which the air handling unit usually has onboard. Like any valve, these can fail and cause a cross over situation between the hot and cold.
It is also good practice to install a quality shut off valve on both hot feed and return lines at the water heater to facilitate service work in the future.
What we usually do is pipe the return into the cold feed of the water heater, which sends the return water to the bottom of the heater tank via the dip tube. What the OP is talking about does the same thing.