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-event.c

@@ -219,12 +219,15 @@ static int handle_socket(CURL *easy, curl_socket_t s, int action, void *userp,
 
 int main(int argc, char **argv)
 {
+  CURLcode res;
+
   if(argc <= 1)
     return 0;
 
-  if(curl_global_init(CURL_GLOBAL_ALL)) {
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res) {
     fprintf(stderr, "Could not init curl\n");
-    return 1;
+    return (int)res;
   }
 
   base = event_base_new();