[FIX] orthogonal LDA transform (conform with R)

Removed an unnecessary dot product from the `LDA.transform()`. Now it gives the same results as R on the setosa data set. See discussion in #3500 for details.

Regression test included.
not wanting to nitpick too much, but how about you write all these little `[[0.1, 0, 0], ..., [0, 0, -0.1]]` etc into a vector, say `d` and then write `X = means[:, np.newaxis, :] + d[np.newaxis, :, :]` followed by appropriate reshaping. That would make the data creation more concise, avoid the for loop and the almost-copy of the same line 6 times