Do I need to show a return ticket when entering Thailand with a visa exemption?

You are confusing two separate things.

ONE is getting a Certificate of Entry when you enter on a visa exempt entry AND for that most consulates require proof of onward travel within the days you'll be stamped in for (so with a visa exempt entry you need proof of onward travel within 30 days)

The other is AFTER you get the COE issued and go to stamp IN to the country once you land. You will NOT be asked by anyone at passport control to show proof of onward travel at all.

It's only to get the COE and whether you need it or not comin' in visa exempt is consulate specific

Ask your Thai Embassy... Many do require a return ticket

Maybe, maybe not. They might not check you in without one. You may be asked for one for COE and they could make you buy one before stamping you in at immigration control.

Almost certainly yes, although it seems dependent on the embassy you get your CofE from and your airline. Many have entered on one way tickets but many have either not gotten the CofE or denied boarding. Probably best to get a changeable ticket or one of the “rent a ticket” for $10 or so.