[gdb] Rewrite RETHROW_ON_TARGET_CLOSE_ERROR into function

Recent commit b2829fcf9b5 ("[gdb] Fix rethrow exception slicing in
insert_bp_location") introduced macro RETHROW_ON_TARGET_CLOSE_ERROR.

I wrote this as a macro in order to have the rethrowing throw be part of the
same function as the catch, but as it turns out that's not necessary.

Rewrite into a function.

Tested on x86_64-linux.