Jose back to Madrid wouldn't shock me - as we've seen repeatedly with players, Real Madrid are immune from any kind of consequences from their circus-like activities, still everyone flocks to the mighty and beautiful Real. They can do no wrong in the eyes of the professionals.
His time there is likely his greatest failure, which he will want to put right. Plus I think the general idea of him wanting to manage United is grossly over-stated - Sir Alex apparently spoke to him about it in 2013 but he went to Chelsea instead knowing what they were like. Also I'm sure he'd love replacing Rafa and doing something with them in the Champions League this season, whereas he is genuinely friendly with LVG so probably wouldn't want to he seen going after his job. And with Ronaldo being in Paris by the summer, he won't have to deal with as many of his old enemies there, so he would be free to make new enemies this time round. Nothing surprising about this connection at all.