Not all the paths return a value, as I can solve it. thank you very much !!
Based on your question the problem is that your method for any of the execution flows that you take, must return an object of type EMPLOYEE since the header where it is being defined says so, but when you see the code of the method I see that you are only indicating if it is employed or not so a solution is to change the type of EMPLOYEE return to void like this:
public void BuscarEmpleado(int leg)
or at the end of the method, after the foreach cycle you write:
return null;