Allow DAP "threads" request when inferior is running

Allow DAP "threads" request when inferior is running

A user pointed out that DAP allows the "threads" request to work when
the inferior is running.  This is documented in the overview, not the
specification.

While looking into this, I found a few other issues:

* The _thread_name function was not marked @in_gdb_thread.
  This isn't very important but is still an oversight.

* DAP requires all threads to have a name -- the field is not optional
  in the "Thread" type.

* There was no test examining events resulting from the inferior
  printing to stdout.

This patch fixes all these problems.

Bug: https://sourceware.org/bugzilla/show_bug.cgi?id=33080