Usually it is the responsibility of the venue to obtain a licence from PRS, so first check with them what licence they have and what it covers. Unless there are no other musical activities held there and they never play recorded music themselves, they should have one. If it covers the use of recorded music then I would think this should include your club when you use the venue. The cost of the licence is one of the overheads they will take into account when setting their room hire rates.

I'm not sure what involvement the EFDSS has/had. Did it hold the PRS licence itself? If so I suggest you contact them.

The payment for the use of the music is the fee paid for the PRS licence. A return is simply one of the methods PRS uses to know what music is being played and distribute its income to the appropriate composers as royalties. A return does not generate a separate payment from the user. It is the licence holder's responsibility to submit the return to PRS. Whenever my band is given a return we just fill it in and hand it back to the event organiser.

If you're still confused you could try contacting PRS. Their range of licences and tariffs is fearsomely confusing, but they are usually very helpful to deal with. They want people to get the correct licence and pay only the appropriate rate.