I'm heading to Lakenheath in a couple of weeks' time (Sunday the 3rd of June). If I miss the last train back to Cambridge, is there an easement available to allow me to head back via Thetford, since the very last train heads that way?
No easement exists.
But London Midland's website will offer me an itinerary via Thetford from Lakenheath on the 1620 service.
Off Peak day return £8.40 Baldock to Lakenheath route : Via Cambridge
No day return exists for the flow Baldock to Thetford.
Off Peak return £13.15 Baldock to Thetford route : Via Cambridge
So the difference is quite a bit.
Here's a screenshot of the London Midland website offering the return journey via Thetford.