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/headerapi.c

@@ -40,9 +40,12 @@ int main(void)
 {
   CURL *curl;
 
+  CURLcode res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
+
   curl = curl_easy_init();
   if(curl) {
-    CURLcode res;
     struct curl_header *header;
     curl_easy_setopt(curl, CURLOPT_URL, "https://example.com");
     /* example.com is redirected, so we tell libcurl to follow redirection */
@@ -77,5 +80,6 @@ int main(void)
     /* always cleanup */
     curl_easy_cleanup(curl);
   }
+  curl_global_cleanup();
   return 0;
 }