The power on the ports may be the incident power and not the total power. Your coaxial example has the wave port covering all of the relevant modal fields, so likely there are no reflections. However your other microstrip examples have an exceptionally poor wave port setup (the port needs to encompass most modal fields, which extends to above the microstrip), likely resulting in a high return loss.
I don't know which power HFSS is referring to, but perhaps they state these in the user manual somewhere.
Good luck!