scripts: runners: openocd: Fix empty search path

When enable thread awareness feature for OpenOCD the search path was
converted to a list.  In some environments OPENOCD_DEFAULT_PATH may
not be defined.  That create an empty search path list system fails.
This add a test to skips fill search_args with openocd_search values
when list is empty.

Fixes #38272.

Signed-off-by: Gerson Fernando Budke <nandojve@gmail.com>