Setting { return: 'parens-new-line' } option should validate that there is a new line after ( and before ).
So following code is the valid code:

return ( <div> <div>example</div> <div> ) 

But following code also considered as valid whereas as it isn't:

return (<div> <div>example</div> <div> ) 

and this one also:

return ( <div> <div>example</div> <div>) 

So, the issue occurs when there is one parenthesis on a separate line and another one on the same line with the JSX code.