I found them. :)

The "Autos" windows in both VC6 and VS.NET 2003 display the returned values.
But VS.NET puts them on the top of the "Autos" window, while VC6 on the
bottom. Because of this slight difference, I couldn't find them at first.
Later I accidently scrolled up the "Autos" window, and I saw there they
were.

Actually, by creating variables to hold the return values, we can definitely
see them with the "Autos" or "Locals" window. But what I was referring to is
a feature that Visual Studio Debugger can display the return value of the
last call in the "Autos" window. The item reads "somefunc returned", where
somefunc is the function name, and it has a distinct icon which indicates
it's a returned value.

Then I found that the return values from Windows API functions were not
displayed, while those form C-Run Time functions and user defined functions
were displayed well in the "Autos" window. This applies to both VC6 and
VS.NET 2003.
I think I must have traced a few calls to APIs, and of course, I got no
debugger feedback, and I made the wrong conclusion above.

Thank you! :)