Is returning shares of a company, whose dealings are most likely unlawful, considered an act of undutifulness if done without the father's knowledge?

If your father gifted you the shares and you took full possession of them, then it is a valid gift and they become your property. If your intention by returning the shares to the company is to terminate the contract with it due to the presence of prohibited activities, then you are not considered undutiful to your father. Rather, it is obligatory to terminate the contract with such companies. It is preferable to inform your father and seek his رضا. To purify the shares of mixed companies, please refer to Fatwa no. 141796.