There's also some very important mechanisms behind having the lich return to the phylactery on death too.
First of all if an immortal being would spawn near their point of death it would be extremely unbalanced, a lich could go on an unending rampage, only facing temporary delays along the way. If they spawned back at their phylactery then death would at least be a bit more inconvenient for them.
Secondly, since a lich can't permanently die without destroying the phylactery there should be a way of tracking its location. By having the lich spawn at the phylactery one can pin point the location based on reports from people who witness the lich after each death. Like: "okay, he keeps coming from this region, so that is where we need to search".