[MRG] Parallelize OvR method in primal_cd

@mblondel I was trying to get some speed gains by parallelizing the OvR method. However when I set `n_jobs>1` it keeps failing with this error, `TypeError: __cinit__() takes exactly 1 positional argument (0 given)`. Note that it works like how it is supposed to for `n_jobs=1`
I would prefer `n_jobs=1` by default.