gdb: Reorganize linux_nat_filter_event

Reorganize linux-nat.c:linux_nat_filter_event such that all the
handling for events for LWPs not in the LWP list is together.  This
helps make a following patch clearer.  The comments and debug messages
have also been tweaked - the end goal is to have them synchronized
with the gdbserver counterpart.

Change-Id: I8586d8dcd76d8bd3795145e3056fc660e3b2cd22