This moves the ownership of the threads that forward stdout/stderr to
the DAP object itself to ensure that the threads are joined and that the
forwarding is cleaned up when the DAP connection is disconnected.
This is part of a larger refactor to allow lldb-dap to run in a
listening mode and accept multiple connections.
This reverts the previous revert and now that the underlying Windows
issue was fixed by 3ea2b546a8.