examples: improve global init, error checks and returning errors

- add `curl_global_init()` and `curl_global_cleanup()` where missing.
- check the result of `curl_global_init()` where missing.
- return the last curl error from `main()`.
- drop Win32-specific socket initialization in favor of `curl_global_init()`.
- rename some outliers to `res` for curl result code.
- fix cleanup in some error cases.

Inspired by Joshua's report on examples.

Closes #19053

docs/examples/chkspeed.c

@@ -156,7 +156,9 @@ int main(int argc, char *argv[])
   }
 
   /* init libcurl */
-  curl_global_init(CURL_GLOBAL_ALL);
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
 
   /* init the curl session */
   curl_handle = curl_easy_init();