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/debug.c

@@ -128,6 +128,10 @@ int main(void)
   CURLcode res;
   struct data config;
 
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
+
   config.trace_ascii = 1; /* enable ASCII tracing */
 
   curl = curl_easy_init();
@@ -151,5 +155,6 @@ int main(void)
     /* always cleanup */
     curl_easy_cleanup(curl);
   }
-  return 0;
+  curl_global_cleanup();
+  return (int)res;
 }