I don't think Frost/Lynch wanted to mix the Vegas world with the Twin Peaks world, so her character could have shown up briefly in Twin Peaks. The easiest way I can think of is having her show up at the RR Diner (even though she was never at the diner in the original series) during one of the scenes with Shelly or Norma.
But that would be a cameo for cameo's sake, pretty much what Mike Nelson got (though his scene did establish Steven's character, or lack thereof). Having a useless cameo would have provided little satisfaction to the fans.
I agree with the overall sentiment. I don't see any cheap cameo-for-cameo's-sake moments in The Return. But I also want to point out that Mike Nelson's scene is certainly not a cheap cameo, serving at least a few purposes. First/second, his appearance occurs when we're very much still on unstable ground, and causes us to think/wonder that he may in fact be a recurring character, when in fact, unbeknownst to us at that moment, it's actually introducing us to Steven and as you said establishing his character, or lack thereof. That's a neat little trick right there. Thirdly, it shows us the passage of time and how Mike - the rambunctious rebel rascal, a former Steven in fact - has now become the establishment, just like his friend Bobby. After you find out Becky is dating Steven - a hilarious reveal, btw - I also like to read into the scene based on the fact that Mike and Bobby might still be friends, and therefore that Mike knows about Steven and has every reason to act like such an asshole towards his friend's daughter's husband. So yeah, it's technically a "cameo," but I think there's a lot going on there, and the choice to include Mike Nelson over other characters was meticulous.