They get to choose whether it returns to the command zone.
The rule for commanders is that if they would go anywhere other than the battlefield, you can choose to instead put them back into the command zone. This includes when they aren't on the battlefield (e.g. if it is returned to your hand and then discarded). This does not include stealing effects such as Mind Control or Blatant Thievery.
September 10, 2017 11:05 a.m.
I think it is worth noting that Final Judgment's oracle text is "Exile all creatures." since "remove from the game" is the old templating for exile. So there is nothing different about the commander being exiled from it or being exiled from Swords to Plowshares.