This reverts commit ba664b3293e88ddee94a4b922ced192f3270b569.

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

Using SDL_INIT_JOYSTICK implies SDL_INIT_EVENTS which installs a signal
handler for SIGINT and SIGTERM. There will be a way to prevent this in
2.0.4 but for now we'll need to handle SDL_QUIT.

This should be restructured to move the connection logic into Core
instead of duplicating it in every Host, but alas, I'm too lazy for
that right now. ~flacs

Fix threading issues

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.