[I am the Lord, I change not; therefore ye sons of Jacob are not consumed]: There are two clauses. The first says that the Lord does not change. The second is causally related to the first. Because the Lord does not change, the covenants he made with Israel remain available, even when Israel has strayed. It is therefore because of the covenant that God has not destroyed Israel for their departure from the faithfully following the way of God.
[Even from the days of your fathers ye are gone away from mine ordinances]: Malachi is address a wayward Israel, and indicating that even their fathers had gone away from the proper performance of the ordinances. Of course this is the reason why the priests must be purified, as indicated in verse 3 and 4.
[Return unto me and I will return unto you]: The Lord stands ready to fulfill his part of the covenant relationship. It is a literary device that parallels the “returns,” not theology. God has not moved, and therefore need not “return.” The poetry, however, creates a beautiful metaphor. As the people turn to their God with pure hearts, God turns to them as the protector and King.