Does locking up Burst in "Commitment" within Phoenix or BTDEX generate some type of return?
No, the commitment itself doesn't generate returns. It's not entirely like proof of stake or delegated proof of stake. The commitment in tandem with mining is what generates the returns.
Is it necessary to set up Mining to make a "Commitment"?
No, you can still mine without any Burst being committed. However, if you want to actually mine and earn Burst in an economical way, you will need to commit some Burst.
How long does the "Commitment" last before the "Committed" Burst is returned?
The committed Burst will remain committed until you uncommit them from within your wallet.