I think it depends - the proofs we sent were basically all copies of original documents. Our photos were printed from our computer, several to a page on printer paper, and were obviously not "original" photographs. They weren't returned. But it sounds like it's possible that things submitted as proofs that are obviously original documents or photographs are sometimes returned. I think you should not assume they will be - if something you think you should submit as proof of your genuine relationship is something that is of value to you, photocopy it and send the copy. If they need the original, they will ask for it.
Check the document checklist - it tells you which specific documents have to be originals. As a rule, everything else is okay to be photocopied or duplicated (as in my example).