in a build "--without-server".

Fix for bug#14685


dbug/dbug_analyze.c:
  In a build "--without-server", the libraries will be built without threading.
  In this case, "my_thread_global_init()" is missing in the libraries, and the 
  linker will report an unresolved symbol.
  
  Avoid this error by making the call to "my_thread_global_init()" depend on 
  "#ifdef THREAD".
  
  Fix for bug#14685