fix python-selftest.exp failure with gdbserver

python-selftest.exp fails with an error when using the
native-gdbserver.exp board.

The bug is that the selftest code doesn't work in this situation.  It
never has.

This patch fixes the problem by pushing the needed check into
do_self_tests.  This helps prevent the problem in the future.

	* lib/selftest-support.exp (do_self_tests): Reject remote or
	non-native targets.
	* gdb.gdb/complaints.exp: Remove check.
	* gdb.gdb/observer.exp: Remove check.
	* gdb.gdb/xfullpath.exp: Remove check.
	* gdb.gdb/complaints.exp: Remove check.