It doesn't bother or surprise me that Jon ends up back at Wall. Like Tormund says, he has the real north in him, and it's where he feels most at home. (It's kind of like in Star Trek IV, when they have to punish Kirk for everything he did in III, but he did just help save the world, so they demoted him to be a captain of a starship, which is the only thing he ever wanted to do, anyway.) I think the Free Folk were going back north to return to their original homes beyond the Wall now that the AOTD was destroyed, and Jon was going with them (maybe to live permanently or maybe just to accompany them so he knew where they were).
BUT: When Jon leaves King's Landing at the end, he's accompanied by two men in black. I'm assuming they're men from the Shadow Tower, since they're not anyone we recognize (so probably not from Castle Black), and who knows how many people survived Eastwatch.
But, they're in black. Which means they're probably official members of the Watch. So why, when Jon returns to Castle Black, are the Free Folk the only people there? Why is Tormund the apparent dude in charge when there are at least two other men who have been officially manning the Wall for longer? Why not bring the guy in charge at the ST in and make him the leader at Castle Black?
I just assumed they were banishing him some place that was barren and had no people, so the Wall would work to serve out his punishment.