Such feature would allow to have fluent code in tests or programmatic jenkins configuration. http://kostyasha.blogspot.com.by/2015/12/jenkins-fluent-classes.html
Atm it not possible to have non-void setters because RequestImpl.class uses java.beans.PropertyDescriptor#getWriteMethod that follows java bean specification that say that setter should be void.
PS. Spring AFAIK allows having non-void setters.