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When not prime is found, the code should stop looping.

An example:
return true;

No, there can be more than one.
The compiler wants a guaranteed return statement. The posted code can skip the for loop with some values of number. Add a return at the end of the method.

The compiler doesn't go through the logic to see if for loop will execute or not.
It wants a return for the possible case where the for loop doesn't ever execute. What if number is 0?
Bottom line: ...