[gdb/testsuite] Handle header files with local-remote-host.exp

With test-case gdb.base/included.exp and host board local-remote-host.exp with
tentative fix for PR29697 I run into:
...
included.c:18:10: fatal error: included.h: No such file or directory
 #include "included.h"
          ^~~~~~~~~~~~
compilation terminated.
...

Fix this by adding the missing gdb_remote_download calls.

Likewise in a few other test-cases.

Tested on x86_64-linux.