The most common exception is '### Not supported on GDB < 5.3 ###'.
The 5.3 part in that message is probably wrong. From a quick glance the error is triggered depending on certain tests, what internal expression GDB evaluates. (And it wrongly assumes that they will work for all versions).
The error should only be displayed if you hit an exception, and the "message" of the exception failed to be read. (not sure why that would happen for you).
As a general rule, if using gdb do use NOT use dwarf-3.
Use "dwarf with sets".
Ensure this is also the case for packages (and the rtl, if you did build it yourself, and added debug info).
Any dwarf3 anywhere, and gdb will not like it. (Though my last tests where with gdb 10 or 11).
If you do not have to use gdb => use FpDebug. (Requires Lazarus 2.2)
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If you get the error again:
Open from the menu: View > Ide Internals > Debug Output
(On older Lazarus < 2.2, this is: View > Debug Windows > Debug Output)
and copy the content (or the last about 50 lines thereof)