We computed accurate atmosphere models of rotation-powered millisecond pulsars in which the polar caps of a neutron star (NS) are externally heated by magnetospheric return currents. The external ram pressure, energy losses, and stopping depth of the penetrating charged particles were computed self-consistently with the atmosphere model, instead of assuming a simplified deep-heated atmosphere in radiative equilibrium. We used exact Compton scattering formalism to model the properties of the emergent X-ray radiation. The deep-heating approximation was found to be valid only if most of the heat originates from ultra-relativistic bombarding particles with Lorentz factors of γ ≳ 100. In the opposite regime, the atmosphere attains a distinct two-layer structure with an overheated optically thin skin on top of an optically thick cool plasma. The overheated skin strongly modifies the emergent radiation: It produces a Compton-upscattered high-energy tail in the spectrum and alters the radiation beaming pattern from limb darkening to limb brightening for emitted hard X-rays. This kind of drastic change in the emission properties can have a significant impact on the inferred NS pulse profile parameters as performed, for example, by Neutron star Interior Composition ExploreR. Finally, the connection between the energy distribution of the return current particles and the atmosphere emission properties offers a new tool to probe the exact physics of pulsar magnetospheres.