Move GL lost manager to NativeInit/NativeShutdown

Otherwise, we clear the registered holders when the display turns off, and never remember them.  This causes the vertex cache to stop working, for example.

It was also somehow affecting the gameinfo cache for me, which I didn't debug much and doesn't make sense from the code, but it doesn't happen anymore with this change.  It did happen after several cycles of locking the screen, so maybe it was just errors from the vertex cache breaking things somehow causing it.

This fixes #5636.

-[Unknown]