Difference between core and prepreg is that core has cooper filled on both sides of dielectric and prepreg is just full dielectric, no copper on any side of the material.
Since you just sandwiched the prepreg between two cores, which are themselves clad with copper, the prepreg now has copper on both sides of it.
Why wouldn't return current flow on the top side of CORE between SIG-GND since there is a full cooper plane on top side of CORE?
High frequency return currents for layer 1 (SIG) will mostly flow on layer 2 (GND). Just how you want it.
High frequency return current for layer 4 (SIG) will mostly flow on layer 3 (PWR). Making this work well likely requires having good bypassing near all source and load locations for high-speed signals.
Return currents for PWR will indeed flow in the GND layer, because those two layers are separated by just the few mil of prepreg. If there also large ground fills on layer 4 you will also get substantial return currents there, even more so if the core layers are much thinner than the prepreg layer.