it is possible. You have to manually specify the sender in the Smtp's Send(mail, sender, recipients) method, not in the message.
The Return-Path is added to the message by the recipient's SMTP server.
Please try this code:
MailMessage mail = new MailMessage();
mail.Subject = "...";
mail.BodyText = "...";
mail.From = "..."; //real sender
mail.To = "...";
Smtp smtp = new Smtp();
smtp.Send(mail, "sender - return path", null); //address for bouncing
Does it work for you?