I have a three storey house. The cold air return on the first two floors is just below the ceiling and the third floor return is on the floor. Is this correct or should it be in the same location as the other floors?

The Ceiling is preferred for A/C the floor is preferred for heat only. Hot air goes up and cold air goes down naturally. Systems are installed both ways. The problem with most air delivery systems is lack of proper engineering for multi story structures. With a 3 story I always recommend a separate unit for the up stairs.