PC,
Why would you have turned left? I'm not looking at a chart but from what I have read here, I assume a right turn would be the shortest turn towards your on course heading.
Always make things make sense in your head. For most scenarios, unless stated otherwise, the controller will expect you to do the thing that makes the most sense. In this case, if VNY is to the right, don't turn left just because they didn't specify a direction. If you told ground you were going back to Van Nuys and tower clears you for takeoff and to turn on course, take off and turn direct to Van Nuys or however you planned on getting there. Basically, "turn on course" means to do what you have to do to get on the routing towards your destination.
Greg