Adding return state option to recurrent layers

[MartinuzziFrancesco]

Addressing the return_state as discussed in #2514.

PR Checklist

• Tests are added
• Entry in NEWS.md
• Documentation, if applicable

[CarloLucibello]

tests are failing

[MartinuzziFrancesco]

is this something that has to be addressed at the Functor level? the fail is at https://github.com/FluxML/Flux.jl/blob/master/test/test_utils.jl#L66 with

MethodError: no method matching RNN(::RNNCell{typeof(tanh), Matrix{Float64}, Matrix{Float64}, Vector{Float64}})

so I guess it's trying to rebuild the struct but it can't since it doesn't have the return_state parametrization information. I can add a workaround like

RNN(rnn::RNNCell) = RNN{false, RNNCell}(rnn)

but this wouldn't solve it at the level that it's needed. The tests would still fail for return_state = true