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/multi-debugcallback.c

@@ -127,6 +127,10 @@ int main(void)
 
   int still_running = 0; /* keep number of running handles */
 
+  CURLcode res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
+
   http_handle = curl_easy_init();
 
   /* set the options (I left out a few, you get the point anyway) */
@@ -157,5 +161,7 @@ int main(void)
 
   curl_easy_cleanup(http_handle);
 
+  curl_global_cleanup();
+
   return 0;
 }