Thanks for all the help. I've now made a Klook reservation. I think I will return the car at the TPE airport because we are a party of 4 and I can see that taking the high speed train from Tainan would be relatively expensive. We're likely headed into Taipei then. I assume I'm better off returning at the airport then trying to drive to "downtown" and returning the car there?

FWIW, I did pay Klook the extra $10 or so a day for their complete insurance package, something I don't think I've ever done before. It seemed worth the piece of mind.