If you do not have a valid Return-Path header in your script that sends your messages, then the headers will contain "Return-Path: <anonymous@cgi.cgi>" by default because the script does not know what to put as that value. It must be assigned by the script. To have your Return Path display your email address, add the following similar line of coding to your mail script:

$headers .= "Return-Path: email@address.com \r\n";