Refactor: Modify all callbacks to return AnomalyModule instead of pl_module

[ashwinvaidya17]

Ensure that all callbacks return AnomalyModule instead of pl_module. Otherwise we have to use cast statements. Eg-
compress.py uses pl_module = cast(AnomalyModule, pl_module) to placate mypy. This should be changed to ensure that we always pass AnomalyModule.

[samet-akcay]

I think this issue could be more generic to address all the callbacks, which should AnomalyModule instead of pl_module