No. I wouldn't return deposit. I'd never suggest returning it either.
The deposit is to make sure they turn up as arranged. My website says it's not refundable.
I invite them to arrive 5 minutes earlier to get settled in.
My view is that's his time slot and I have a day to organise, if he's late that's his his business.
These guys can be oddly literal and misinterpret and if you write that you give them 10-15 minutes grace they may think it's ok to be late.
You may be better off removing that or encouraging prompt arrival?