The Sunset Trail doesn't loop, but if you start at the trailhead at Sykes Knob Road (not Sky), then the other end is at the Marshall Gulch picnic area, so you can't miss the turnaround. Good spot for a break, visit the restroom (stinky), before heading back the way you came. It's a nice trail, not too difficult, some great views, rocks for the boys to climb on.
I don't recall any side trails. It may be a bit confusing finding the start of the trail. From the parking lot you walk along a road for a while before getting on the trail. At the Marshall Gulch end, there's not much trail, just walking up the creek bed but you can't lose your way.