Don't give misleading message for unhandled exceptions in a thread

The application doesn't necessarily terminate when a thread dies due to an
unhandled exception, even though it will often crash later.

src/common/appbase.cpp

@@ -697,7 +697,9 @@ void wxAppConsoleBase::OnUnhandledException()
     }
 
     wxMessageOutputBest().Printf(
-        "Unhandled %s; terminating\n", what
+        "Unhandled %s; terminating %s.\n",
+        what,
+        wxIsMainThread() ? "the application" : "the thread in which it happened"
     );
 }