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/http2-serverpush.c

@@ -212,6 +212,7 @@ static int server_push_callback(CURL *parent,
  */
 int main(int argc, char *argv[])
 {
+  CURLcode res;
   CURL *easy;
   CURLM *multi_handle;
   int transfers = 1; /* we start with one */
@@ -221,6 +222,10 @@ int main(int argc, char *argv[])
   if(argc == 2)
     url = argv[1];
 
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
+
   /* init a multi stack */
   multi_handle = curl_multi_init();
 
@@ -229,6 +234,7 @@ int main(int argc, char *argv[])
   /* set options */
   if(setup(easy, url)) {
     fprintf(stderr, "failed\n");
+    curl_global_cleanup();
     return 1;
   }
 
@@ -270,7 +276,7 @@ int main(int argc, char *argv[])
   } while(transfers); /* as long as we have transfers going */
 
   curl_multi_cleanup(multi_handle);
-
+  curl_global_cleanup();
 
   return 0;
 }