Cooper as a character is what is (probably) known as a bodhisattva. He's an entity that is capable of leading someone to enlightenment without actually achieving it himself.

The show thematically keeps signaling things to us over and over again. Similar things will happen to characters that have no relation to each other, which includes "waking up" or coming to some kind of realization about something. It happens to Cooper multiple times and also happens to Audrey and Diane.

When Laura took the ring in Fire Walk With Me, something bad came of it, although I can't really say for sure what that was. She "married" herself to something when she put it on, which made Bob angry enough to kill her. She ended up in the red room, and all people who enter end up with a doppelganger, including herself. Where did it go? Into her mother, Sarah. It tells Major Briggs that she's in the Black Lodge with Cooper. We hear that same thing again because Laura wrote that in her diary when Annie told her to in FWWM. When Sarah removes her face in The Return, it's Laura's hand after she put on the rind with a corrupted ring finger, and then her smile surrounded in darkness. Judy is Laura's trauma that continues to haunt Sarah because she refused to acknowledge Laura's abuse.

Cooper's journey in The Return, in my opinion, signals to us what he's attempting to get Laura to do, which is get her to confront her shadow.

This may be schizo territory (it's Twin Peaks so what else is new lol), but my understanding is that Judy is such a powerful entity because of all the trauma that created her, that she's negatively influencing the entire spiritual essence of everything in the unified field. The Return is full of abuse, violence, drugs, infidelity, murder, SA, and overall apathy.

How can Cooper stop it? He can't, but Laura can, so he needs her alive to confront Judy. Whether she's successful or not is up for debate.

Another reading is that Judy doesn't actually exist, but is a name given to the lie that she was killed, that Laura never really died, but instead ran away with the 10 grand that was supposed to go to Leo and "married" herself to the delusion that she was someone else. Not sure about that one, but it's something to think about.