Some jets are designed to have air coming in. They are usually venturi type jets, and they are usually on steps and seats. If they are regular returns, then they should not have air coming in with the water. If they do, then there might be a suction side air leak. A suction side air leak can usually be seen as air in the pump basket area.
If you have a SWG, then there will be very tiny hydrogen bubbles when the cell is making chlorine.