gh-111644: Fix support threading_cleanup() (#111714)

Copy the list of dangling threads to make sure that the list of
"Dangling thread" is complete. Previously, the list was incomplete if
threads completed just before the list was displayed.

Changes:

* Rewrite the warning to make it easier to understand.
* Use support.sleeping_retry().
* threading_cleanup() no longer copies threading._dangling,
  but only counts the number of dangling thread.
* Remove support.gc_support() call.