[gdb/testsuite] Fix gdb.python/py-events.exp

[gdb/testsuite] Fix gdb.python/py-events.exp

With test-case gdb.python/py-events.exp on ubuntu 18.04.5 we run into:
...
(gdb) info threads^M
  Id   Target Id                                     Frame ^M
* 1    Thread 0x7ffff7fc3740 (LWP 31467) "py-events" do_nothing () at \
         src/gdb/testsuite/gdb.python/py-events-shlib.c:19^M
(gdb) FAIL: gdb.python/py-events.exp: get current thread
...

The info thread commands uses "Thread" instead of "process" because
libpthread is already loaded:
...
new objfile name: /lib/x86_64-linux-gnu/libdl.so.2^M
[Thread debugging using libthread_db enabled]^M
Using host libthread_db library "/lib/x86_64-linux-gnu/libthread_db.so.1".^M
event type: new_objfile^M
new objfile name: /lib/x86_64-linux-gnu/libpthread.so.0^M
...
and consequently thread_db_target::pid_to_str is used.

Fix this by parsing the "Thread" expression.

Tested on x86_64-linux.