Where does the power supply current return?
Primary current flow is from the component to the connector. A secondary (usually smaller) current flows from the ground of the 7805 to the connector. This secondary current is the current drawn by the 7805 in operation, and can be found in the data sheet. (And, as a comment, a 7805 is nobody's idea of an LDO, which stands for Low Drop Out - the minimum voltage difference between the input and output).

At this level of performance, there is no need to worry about the effects of ground currents, although if you ever get to dealing with amps or 10's of amps, or mixing high-speed logic with sensitive analog functions, controlling the return paths of ground currents can become quite important.