gdb: fix ui-style regex initializing order

This fixes a crash on Windows NT 4.0, where windows-nat failed dynamic loading
some Win32 functions and print a warning message with styled string, which
depends on ui-style regex. By using `compiled_regex` constructor, the regex is
guaranteed to be initialized before `_initialize_xxx` functions.

Approved-By: Tom Tromey <tom@tromey.com>