We're staying on Return for a while - the next one not in it will be "The Bruce-Partington Plans", due on 14 August.
I've been reading from the Klinger annotated version as this includes the illustrations. I will try to contribute original stuff.
Scholars have had a lot of discussion, as per Klinger, on which one of Oxford or Cambridge this is, including a lot of focus on the state of early English charter research. They also discuss which of them Holmes went to - Baring-Gould has him go to both, with some further study in London in the middle. And fail to get a degree.
Athenian general Thucydides' only work was History of the Peloponnesian War, an eight-volume, incomplete (it cuts off abruptly during Book VIII), account - of the conflict that is considered a classic, although it's debated if it's a history book or just good literature. The fact his name is dropped in that manner suggests the audience should know it automatically. It's also apparently a very hard book to translate from the original Greek.
Oxbridge (I'll use the common term for them as a pair here) students have scheduled highly personalised time with their tutors in small group learning - it's called a tutorial at Oxford and a supervision at Cambridge.
Prospective students either apply to an Oxbridge college directly or make an open application, being allocated to one if successful.
There have been Indian students at Cambridge since 1867, including three future Indian Prime Ministers - most famously Jawaharlal Nehru himself.
"Ruined on the turf" means he lost all his money betting on horses.
A "blue" is awarded to university athletes who have excelled at their sport. There are multiple grades, "full blue" being the highest. You are entitled to wear a special blazer when you get one. Cambridge is light blue, Oxford dark blue. Not to be confused with a Porterhouse Blue, which is something completely different.
Rhodesia was the British colonial territory now Zambia and Zimbabwe, named after Cecil Rhodes.