[MRG+1] Fixes #3644

Added `return_path` parameter while calling `orthogonal_mp_gram` to propagate the same.

@agramfort @MechCoder
> err no, I meant instead of path and last, not the kwarg.

Yes, this is what I thought too when I saw the PR. However, it is
consistent with the way it is done in LARS, so I believe that we should
stick with these semantics.