[gdb/testsuite] Handle init errors in gdb.mi/user-selected-context-sync.exp

[gdb/testsuite] Handle init errors in gdb.mi/user-selected-context-sync.exp

In OBS, on aarch64-linux, with a gdb 11.1 based package, I run into:
...
(gdb) builtin_spawn -pty^M
new-ui mi /dev/pts/5^M
New UI allocated^M
(gdb) =thread-group-added,id="i1"^M
(gdb) ERROR: MI channel failed
warning: Error detected on fd 11^M
thread 1.1^M
Unknown thread 1.1.^M
(gdb) UNRESOLVED: gdb.mi/user-selected-context-sync.exp: mode=non-stop: \
  test_cli_inferior: reset selection to thread 1.1
...
with many more UNRESOLVED following.

The ERROR is a common problem, filed as
https://sourceware.org/bugzilla/show_bug.cgi?id=28561 .

But the many UNRESOLVEDs are due to not checking whether the setup as done in
the test_setup function succeeds or not.

Fix this by:
- making test_setup return an error upon failure
- handling test_setup error at the call site
- adding a "setup done" pass/fail to be turned into an unresolved
  in case of error during setup.

Tested on x86_64-linux, by manually triggering the error in
mi_gdb_start_separate_mi_tty.