What exactly does the prophecy say?

It says that Messiah ben Joseph dies before the second Temple is destroyed. It does not say anything about the return of the exiles. However, we know from other sources that it is BECAUSE of his death the exiles return, but the return does not happen UNTIL the end of the age.

Could Yeshua, then, be Messiah ben Joseph? Clearly this is who he believed he was.  There have also been others that seem to have speculated this.  In the New Testament there is a story about Caiaphas, the high priest.

John 11:47-53

47 Then gathered the chief priests and the Pharisees a council, and said, “What can we do? for this man does many miracles.
48 If we let him alone, all [men] will believe on him: and the Romans shall come and take away both our place and nation.”
49 And one of them, [named] Caiaphas, being the high priest that same year, said to them, “You know nothing at all,
50 nor consider that it is expedient for us, that one man should die for the people, and that the whole nation perish not.”
51 And he spoke not of himself: but being high priest that year, he prophesied that Yeshua should die for that nation;
52 And not for that nation only, but that he also should gather together in one the children of God that were scattered abroad.
53 Then from that day on they plotted to put him to death.

Why would they plot to kill someone whom they believed was Messiah?

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