[RFA] Thread exit messages on MS-Windows

[Joel Brobecker]

> If we decide to do this in delete_thread, then we will have to remove
> the announcements in several target-specific files which do that, like
> linux-nat.c.  Is that OK?

I would like us to go that route also, but let's do that separately?
When I looked at it, the announcement was almost always printed right
before calling delete_thread, but not always (on some platforms, the
announcement is sent while the thread is marked as "dying", and the
deletion is done later on). Not sure if moving the annoucement later
would make any difference in practice.

-- 
Joel