gdb_server: suggest user to prefer GDB extended mode

gdb_server: suggest user to prefer GDB extended mode

In case of GDB connection not using extended mode, issue a warning
message to suggest the user to switch using the extended mode.
Issue the message only once at each run of OpenOCD, to avoid too
much noise.
Update the documentation to suggest using extended mode.

Change-Id: I9326e84f748d5d7912d5a48f00f0fb541ca19221
Signed-off-by: Antonio Borneo <borneo.antonio@gmail.com>
Reviewed-on: http://openocd.zylin.com/5311
Tested-by: jenkins
Reviewed-by: Karl Palsson <karlp@tweak.net.au>