gdb, btrace: improve error messages

When trying to use 'record btrace' on a system that does not support it,
the error message isn't as clear as it could be.  See
https://sourceware.org/pipermail/gdb/2022-January/049870.html.

Improve the error message in a few cases.

Reported-by: Simon Sobisch  <simonsobisch@gnu.org>