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/multithread.c

@@ -72,11 +72,14 @@ static void *pull_one_url(void *pindex)
 
 int main(void)
 {
+  CURLcode res;
   pthread_t tid[NUMT];
   int i;
 
   /* Must initialize libcurl before any threads are started */
-  curl_global_init(CURL_GLOBAL_ALL);
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
 
   for(i = 0; i < NUMT; i++) {
     int error = pthread_create(&tid[i],