The intended use is that you TELL THE DEVIL WHERE YOU ARE and if there is ANYTHING OF INTEREST ON THAT PLANET TO HELL, and then the devil GOES BACK, and Asmodeus KNOWS WHAT HAPPENED IN CASE IT IS INTERESTING AT ALL.
This is why the loadout does not include a Day 1 Plane Shift. It might be better for the squirrel, sure. But most of the expected value of an Incredibly Lost Squirrel is not in retrieving the squirrel, but in the squirrel landing someplace interesting or valuable to Hell. Getting the squirrel back is a distantly second-best consolation prize.