Certain Powerplay activities do require either taking cargo to A and returning to headquarters or going to A and bringing cargo back to headquarters, yes, and one of the directions is empty.
In practice, though, you'd probably need to fly some of the distance anyway to make sure that the closest detention centre to you (of the appropriate jurisdiction) was the closest to your destination. You'd also need to fly from the detention centre to your destination.
Given that most of the big freighters used for this jump pretty far when they're empty anyway, you'd be perhaps saving a jump or two on the round trip at best ... at a cost of whatever your rebuy is, plus however long it takes you to commit a crime and then be destroyed for it.
