[gdb/testsuite] Better error checking in has_hw_wp_support

[gdb/testsuite] Better error checking in has_hw_wp_support

With gdb 12.1, on powerpc64le I ran into ERRORs related to has_hw_wp_support
usage, which was already fixed on trunk by commits:
- 13f72372413 ("gdb/testsuite: fix gdb.base/break-idempotent.exp on ppc"), and
- 01a32ee0b8c ("PowerPC, fix gdb.base/watchpoint.exp on Power 9")

While looking into these ERRORs and the commits that fix them, it occurred to
me that while the commits fix the root cause, the failure mode is not great.

The test-cases expect a running instance of gdb upon return, which is not
there, so there's an long stream of ERRORs generated as a result.

Fix this at the start of has_hw_wp_support, by (instead of accomodating a
running gdb instance by calling gdb_exit), checking whether it's called
without a running gdb instance, and erroring out otherwise.  This way, there's
just one error.

I also noticed that in case we do an early exit due to !runto_main, we don't
clean up, so copy the missing cleanups (gdb_exit and $obj file deletion) from
the regular exit.

Tested on x86_64-linux, using has_hw_wp_support for x86_64 in
skip_hw_watchpoint_tests.