Handle EOF more gracefully in DAP

Handle EOF more gracefully in DAP

A user pointed out that gdb will print a Python exception when it gets
an EOF in DAP mode.  And, it turns out that an EOF like this also
causes gdb not to exit.  This is due to the refactoring that moved the
JSON reader to its own thread -- previously this caused an exception
to propagate and cause an exit, but now it just leaves the reader
hung.

This patch fixes these problems by arranging to handle EOF more
gracefully.

Bug: https://sourceware.org/bugzilla/show_bug.cgi?id=31217