VFS Global are one of UKVI's commercial partners. They have made an arrangement with UPS to offer pre-paid, fixed price shipping labels for visa applications to Sheffield and New York City. It is actually not possible to arrange an international return label through UPS themselves, so the return label offered by VFS Global is a special label only available to people applying for a visa through Sheffield.
As they are UPS labels, if you purchase the round-trip service, you have to take your printed label and documents to a UPS store to get an envelope from UPS to mail everything in. All the instructions for this are on the VFS Global website. You also place the printed return label in the package.
If you have purchased Settlement Priority Processing from VFS Global as well, you must print the receipt and place it on the very top of your documents, then once you have the UPS envelope, you write SETTLEMENT PRIORITY SERVICE in very large letters on the outside of the envelope before you mail it. Again, these instructions are on the VFS website.
So, the only involvement you will have with UPS is taking your documents and shipping label to their store, putting it all in one of their envelopes and handing it over to them to mail.
Everything is paid for through the VFS Global website.