`permuted_ols` calls `_permuted_ols_on_chunk` on different chunks and, as far as I understand, the `random_state` has to be the same for all chunks, because you have to do the exact same permutations each time.

Putting it to None won't raise an Error but if somebody is trying to use this function in another context, then I think that pointing out the importance of particular parameter is a good thing.