Fluid dynamics is a field of engineering that is very intense and complex. However simply put, it is a game of pressure differentials and not a path of least resistance or "last river" concept. Pumps "pump" because they create a lower pressure on their suction side, and a higher pressure on their discharge side, and flow is created. The higher pressure will always seek the lower pressure. Every time the flow meets resistance, ie pipe friction, turns, coils, heat exchangers, the pressure gets a little lower on the other side of that resistance.
Now depending on how you pipe your boilers, if you put your pumps on the supply side, my personal preference and the preference of reputable heating contractors, you keep the higher pressure at the air removal portion of your piping and you have a greater chance of getting the air out of your system.
The other school of thought is to have the highest pressure of the system at the boiler as it is the greatest resistance to flow. Also most boilers come with some kind of rudimentary air scoop in their exchanger, and if that is all you plan to use to remove air, then the return is a good option. I also wonder if its sheer laziness as the boiler usually comes out of the box with the pumps mounted on the return side.
To sum up, it sounds like you had a good heating contractor design your piping system and I would stick with keeping it on the supply side!!!