The problem was that the dbug facility was being used after the
per-thread dbug state had already been finalized. The was present
in a few functions which invoked decrement_handler_count, which
in turn invokes my_thread_end on Windows. In my_thread_end, the
per-thread dbug state is finalized. Any use after the state is
finalized ends up creating a new state.

The solution is to process the exit of a function before the
decrement_handler_count function is called.