[gdb/testsuite] Fix untested messages in gdb.mi/*.exp

The effect of:
...
untested "y.exp"
...
in a gdb.x/y.exp is:
...
UNTESTED: gdb.x/y.exp: y.exp
...
which is a bit pointless.

Replace these untested messages in gdb.mi/*.exp with the usual "failed to
compile".

Likewise for an:
...
untested $testname
...
where the variable is undefined.

Tested on x86_64-linux.