It just depends on if you want just the train ride up and back; or if you want the train ride PLUS some other activity. The train ride up and some other method back is popular because you come back down the same way.
There is much more information on this in the Alaska Port Chat Forum.
I took the "Yukon Expedition and White Pass Scenic Railway" shore excursion during my recent cruise on the Island Princess. We took a motor coach past Carcross, Yukon Territories to have lunch and then drove to Emerald Lake. Afterwards, we spent some time in Carcross before going back to Fraser to take the train back to Skagway. The views are amazing and we totally enjoyed the excursion.