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/log_failed_transfers.c

@@ -207,6 +207,7 @@ static size_t mywrite(char *ptr, size_t size, size_t nmemb, void *userdata)
 
 int main(void)
 {
+  CURLcode res;
   unsigned i;
   int total_failed = 0;
   char errbuf[CURL_ERROR_SIZE] = { 0, };
@@ -222,9 +223,10 @@ int main(void)
   transfer[1].bodyfile = "400.txt";
   transfer[1].logfile = "400_transfer_log.txt";
 
-  if(curl_global_init(CURL_GLOBAL_DEFAULT)) {
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res) {
     fprintf(stderr, "curl_global_init failed\n");
-    return 1;
+    return (int)res;
   }
 
   /* You could enable global tracing for extra verbosity when verbosity is
@@ -334,5 +336,7 @@ int main(void)
     printf("\n");
   }
 
+  curl_global_cleanup();
+
   return total_failed ? 1 : 0;
 }