FIX update of alphas when local_alpha=False for `solve_multiple_kernel_ridge_random_search`

[mvdoc]

Without this fix, the targets were still updated individually even though the best alpha was selected based on the cv score averaged across targets.

This PR also adds a test to make sure that if local_alpha=False, then we get only a single alpha across all targets.

[TomDLT]

Very nice !