Does the fact that Maege says she needs to be returned to her owners hand as part of her response still allow Rickon to work with her?

Rickon doesn't copy the ability, he copies the effect . So you'd get the benefit of Maege's ability without paying its cost (well, technically, you did pay a cost for it - kneeling Rickon.)

And you copy the whole effect, including putting the location into play knelt.