Here's how my group has interpreted it:
1) I believe the second sentence means that if Kyuzo took a support token from another player on the turn he received his kiai, then at the end of that turn he would have to return the support token to the player that gave it to him ... Correct?
Correct. This is how we play it.
2) What does the first sentence of the example (Note) mean? Perhaps you could provide an example.
The first sentence just kind of introduces the main point behind Kyuzo's kiai. If it triggers on his own turn, don't use it to grab a friend's power token or else it'll just go right back to them at the end of the turn.
In those cases we always either have Kyuzo donate out his power or do some other kind of Support between players.
3) Regarding Kyuzo's kiai I assume that the support token given is always returned to its originator at the end of the turn of the player who received it - just like you would do in a normal Support Action. Correct? Thanks.
Yeah, I think you are correct here.