Can you set the redirect path for system forgot password form?
You can. You have to build some front end forms:


Forgot Password Form (http://buildwithcraft.com/docs/templating/forgot-password-form)
Set Password Form (http://buildwithcraft.com/docs/templating/set-password-form)


Be aware of the config setting, setPasswordPath.

It's also worth noting that a user account with control panel privileges will be redirected to the control panel set password and login no matter what.

Edit:
Also, check out setPasswordSuccessPath for redirecting the user after they've successfully set their new password. Again, this only applies to non admin users that have completed this process using the front end forms you have setup.