Rx8 fuel system not compatible with glowshift gauge
 

I bought a glowshift digital fuel pressure gauge and just read in the manual that it's not recommended for returnless fuel system. Do I have to return it now?

You should, it's a Glow Shift gauge. That said, the gauge should work so long as it is installed right. Whether it is a return or returnless fuel system doesn't matter.

Ok good, but why would it say it's not recommended?

Because they use junk components. Return-less fuel systems leave pressure in the lines when the car is shut off, which wears the diaphragm in the sending unit faster. Buy a quality gauge.