I'm curious if anyone here has experience with this situation and can give some perspective.
I served as a reviewer for NSF proposals in math, so have some insight into the process, although I don’t recall if this particular issue came up.
I'm currently already doing a postdoc in Europe; does this have any bearing?
I don’t see how it would.
Is it important to communicate, in some form, an intention to return to the U.S. after the postdoc?
I don’t see how that‘s relevant. The fellowship’s goal is to assist you in reaching certain objectives during be time you are receiving the fellowship, not afterwards. However, I suppose it’s possible that some reviewers of your proposal will have a different view and think that this is important.
Or to emphasize that you will still be involved in the U.S. math community?
You should emphasize whatever you think are the best and most noteworthy aspects of your proposed project activities in the context of the broader impacts review. Certainly being involved in the US math community sounds like a good thing, but it’s by no means the unique thing you can propose to do that an NSF reviewer might think is worthy of funding. For example, since you are abroad, you can also do things that your competitors in the US are less able to do, such as build bridges for collaboration with researchers in other countries. Basically, my suggestion is that you try to think what would be the best way you can make a contribution given your unique setting, skills and interests, and propose (and emphasize) that.
Finally, it’s good to keep in mind that the people who would be reviewing your application are people with a fairly similar background to you and (by and large) care about the same things you do. Mostly they will want to see you propose to do something that is exciting and beneficial to society. So don’t overthink this - obviously if you can make the case that your project will further the US national interest or US society in some specific way that’ll be great, since it’s US government funding you’re applying for, but that effect doesn’t have to be a direct one, and there are many ways in which an overseas US researcher can still make a good contribution.