This is one of the main differences between Procs and lambdas.
A return in a Proc returns from its enclosing block/method, while a return in a lambda simply returns from the lambda. When you call the lambda inside the func_two, it simply returns its value in place, which is not saved.
Read on Procs v. lambdas here:
http://en.wikibooks.org/wiki/Ruby_Programming/Syntax/Method_Calls
See duplicate SO question:
Why does explicit return make a difference in a Proc?
EDIT:
To further illustrate this difference, swap func_one and func_two for blocks and see what happens:
> begin; lambda { return 1 }.call end
1
> begin; Proc.new { return 1 }.call end
LocalJumpError: unexpected return
...