gdb/testsuite: don't try to set non-stop mode on a running target

gdb/testsuite: don't try to set non-stop mode on a running target

The test gdb.threads/thread-specific-bp.exp tries to set non-stop mode
on a running target, something which the manual makes clear is not
allowed.

This commit restructures the test a little, we now set the non-stop
mode as part of the GDBFLAGS, so the mode will be set before GDB
connects to the target.  As a consequence I'm able to move the
with_test_prefix out of the check_thread_specific_breakpoint proc.
The check_thread_specific_breakpoint proc is now called within a loop.

After this commit the gdb.threads/thread-specific-bp.exp test still
has some failures, this is because of an issue GDB currently has
printing "Thread ... exited" messages.  This problem should be
addressed by this patch:

  https://sourceware.org/pipermail/gdb-patches/2022-December/194694.html

when it is merged.