@Apple88... try using

ApexPages.addMessages(e);

instead of ApexPages.addMessage() (plural method instead of the singular method).

Add Message will only spit out one error messages, while Add Messages will spit out all the errors in the exception.

@Abhi_the1...not sure why that might be happening, but check to make sure there's a "retUrL" value in the query string of the page you're on when you start.  If there's no retUrl value, it will punt you to the homepage by default. (I think)

Some additions to this code that might help anybody else who stumbles on here would be to make sure your Save & New action is passing along any pre-filled values on to the next Create page.  This is important when createing detail objects, so that the Master field is already filled in.

My code kinda looks like this...

    /*** PROPERTIES ***/
    private ApexPages.StandardController myStdController;
    public String queryString {get;set;}
    
    /*** CONSTRUCTOR ***/
    public vf_Child_Object_Create(ApexPages.StandardController stdController) {
        myStdController = stdController;
        PageReference thisPage = ApexPages.currentPage();
        List<String> url = thisPage.getUrl().split('\\?');
        queryString = url[1];
    }

    /*** ACTIONS ***/
    public PageReference saveandnew(){
        try {
            myStdController.save();
            
            Schema.DescribeSObjectResult describeResult = myStdController.getRecord().getSObjectType().getDescribe();
            
            PageReference pr = new PageReference('/' + describeResult.getKeyPrefix() + '/e?' + queryString);
            pr.setRedirect(true);
            return pr;  

        } catch(System.DMLException e) {
            // Note: not spitting out any error messages, as SF seems to be handling the errors fine, at least for my simple object; your mileage my vary.
            return null;
        }
    }

The querystring that I read during the contructor phase should remain untouched by your processes.  SF will dump in other variables into the querystring, keeping track of the view state, etc. which you don't want.

I might be missing something else here, but so far this works for my use cases.

Good luck!