This reverts commit ba664b3293e88ddee94a4b922ced192f3270b569.

Added documentation to Core::Shutdown() to prevent breaking changes.

Core::Shutdown was only called on app exit, yet the emu thread exits
whenever emulation stops; if you launched a new game it would just join
via the destructor when s_emu_thread was set to a new thread.
(Incidentally, the destructor also makes explicitly joining on app exit
rather pointless.)

Because the GUI thread wasn't waiting for the CPU thread to fully shut
down, Core::IsRunning would remain true briefly after CFrame::DoStop
which, given Dolphin's penchant for accessing variables belonging to
other threads, can only mean trouble... In my case, because the previous
commit caused UpdateGUI, which is called at the end of DoStop, to call
PauseAndLock, which checks IsRunning, pressing stop at the right time
would cause strange behavior.

The include was introduced by bcf1f54c and made unnecessary by 611f3494.

The code is not really worth saving, and afaik it has never actually been helpful.

Fixes a regression from 4.0-5692 where only the system language was used.

The UI should decide on where it wants the user directory, not our core system.
This is in anticipation of some upcoming work on Android which will need proper user directory setting.