This question is about when the server responds. The data must be encrypted or the entry guard (who knows your location) can read it and work out exactly what you are doing.
My assumption is that the exit node encrypts the response, sends it to the middle.
Then I wonder if the middle node encrypts it more before sending to the entry node and then the entry node encrypts it more before it sends it to the Tor user to decrypt, or if it just sends it without encrypting any more (as more encryption is unnecessary).
I've been trying to find this in the documentation and have been unsuccessful so far.