If the first stage were to "fly" all the way back to land after separating from the second stage, that would require some combination of a heavier/stronger rocket to hold more fuel, and a reduced payload capacity to orbit.
Blue Origin only does short, up-and-down flights -- they are not trying to achieve orbit so there is no need for horizontal travel. They can simply shut off the rocket and fall back to the launch site.
You write it as a hypothetical, but that's actually how SpaceX landed their first first booster. It was Falcon 9 Flight 20, which deployed 11 Orbcomm satellites.
Infographic of the trajectory: https://i.imgur.com/D9BdO86.png
The astronauts considered it extremely risky to say the least. NASA actually wanted to try it on STS-1 (a manned flight on a system that had never been tested before) to see if it worked. In the words of the mission commander: "Let’s not practice Russian roulette, because you may have a loaded gun there." Which carries a lot of weight from a man who was willing to risk a lunar landing.
http://www.tested.com/science/space/460233-space-shuttles-co...
https://en.wikipedia.org/wiki/Space_Shuttle_abort_modes#Retu...
Previous HN discussion: https://news.ycombinator.com/item?id=8447479
SpaceX has done 'land' landings in the past as well (for lighter payloads they have enough fuel to turn around and come all the way back to land).
EDIT: Here's a quick explainer on the topic with shiny graphics: http://www.popularmechanics.com/space/rockets/a18711/blue-or...
The initial (publicly shown) iteration was Grasshopper, it looked like this [0].
After that there was F9R-Dev, which looked like this [1] (it's pretty much just a F9 first stage). At some point they added grid fins, which look like this on the vehicle [2] and this up close [3] (note the anti-pidgeon spikes are being added purely for display, they are not attached during flight). Other than that there haven't really been any visible iterations, the legs look like this [4] and have since the F9R-Dev.
[0] http://spacenews.com/wp-content/uploads/2014/11/Grasshopper_...
[1] http://i.imgur.com/ZTpp8pP.jpg
[2] http://www.spaceflight101.net/uploads/6/4/0/6/6406961/518499...
[3] http://spaceflightnow.com/wp-content/uploads/2016/08/SPACEX-...
Blue Origin's mission allows it because it's suborbital. That is: it doesn't actually go anywhere other than straight up. That's also why they can launch in the middle of Texas.
Blue Origin's accomplishments (especially their engine designs) are nothing to sneeze at, but SpaceX is currently in a completely different league. The fact that they have to land on a barge is a result of how scaled and practical their technology is; that they succeed in doing so is an unprecedented achievement in launch vehicle technology.
I may be completely wrong here but I'm fairly certain that's what I remember reading.
IIRC Blue were sitting on some "landing on a barge" patents that SpaceX successfully fought, because they were far too obvious.