I have not come across a RETW instruction... Could it be the RETLW instruction that you're referring to? Or, could it be a pseudo instruction that someone created using the define directive?
Most probably RETLW xx, which means RETURN from a CALL with W loaded with value "xx".
Intended for table read routines, useful for debugging where, depending what was the xx value you knew where the action was passing through after acertain CALL:
The instruction is RETLW is mostly used when doing look-up tables in PIC assembly. You call the table address with CALL instruction, at the table address you place an instruction that adds an offset to the PCL to get the correct RETLW from the table and return with that value in the W register.
Good Luck