Review behavior of closing connections

PR #522 has shown that the way of closing connections for `gdbtarget` across the entire stack `VS Code/Theia -> GDB Adapter -> Stub/GDB server of your liking` needs review and
- first proper documentation, would recommend to capture this in the repo Wiki.
- followed by discussion if and how to change things.

Main reason is multiple debugger protocols with variations in terminology and expected behavior come together for embedded targets, which haven't been a top priority when designing those (MSFT DAP, GDB-MI, GDB remote). And eventually may hit highly configurable GDB servers.

May become a delicate endeavor given the adapter is used in different use cases and products already.
Hence, I'd urge to move changes forward carefully. And it may make additional configurations necessary to preserve existing and fundamental use cases (least preferred but most likely outcome).

Also, it may have to include review of connection strategies because they can have impact on for example both DAP and GDB protocols.

CC: @jonahgraham , @cwalther , @datphan9798

Start by reviewing PR #522 and the current connection-closing behavior across the VS Code/Theia, GDB Adapter, and Stub/GDB server stack. Document the existing behavior and terminology in the repository Wiki, then compare the DAP, GDB-MI, and GDB remote expectations. Done means the current behavior and questions for follow-up discussion are clearly recorded.

Written by the indexing model from the issue text.