I just checked CX online and found I can redeem 2 class J, but return leg is only waitlisted. What would happened if I finally couldn't get the return leg confirmed?

could you mind elaborating on your question? particularly if this is an upgrade award of full redemption?

if your question is "i want to redeem Asia Miles for 2 round-trip upgraded J tickets (from PEY), but only the outbound leg is confirmed, what do I do", basically you have to sit tight. If only the outbound leg confirms and the inbound leg never confirms, you will be setting in PEY on the way back. Asia Miles will charge your account for only a 1-way upgrade award.

If you eventually clear the waitlist for the return flight, then you'll be in J both ways. In the past, in your situation they would've charged you for two 1-way upgrade awards regardless because both sectors did not clear at the same time (that has happened to me many times, and it sucks because you end up flying a round-trip anyway). Two 1-ways, naturally, is more expensive than a round-trip. But, I read here recently that CX was being reasonable and would only charge you the round-trip price in miles if the waitlisted sector eventually cleared.

I'm not sure if that's your question.

The other option is "I'm booking a full upgrade award and the return sector won't clear, what do I do". If you really wanted to, I suppose you could tell MPC to book your business class award booking into premium/ regular economy class for the way back. But I don't think anyone in their right mind would want to do that, risk paying so many miles for the J ticket when you were only sitting in PEY/Y class return. CX will not refund you the difference in that case.

By my reading, this was the OP's question. And I tend to agree with your advice. I know some posters report that availability tends to open up quite close to flight departure, especially in premium cabins, but I personally would never feel comfortable taking that risk. My approach in these situations has always been that either I find availability for the roundtrip right from the beginning, or don't use miles at all. At least if OP has confirmed a seat in a lower cabin he knows he'll be able to fly that day, but still it ends up being an expensive mileage flight at the J rate.