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/sftpget.c

@@ -62,13 +62,14 @@ static size_t my_fwrite(void *buffer, size_t size, size_t nmemb,
 int main(void)
 {
   CURL *curl;
-  CURLcode res;
   struct FtpFile ftpfile = {
     "yourfile.bin", /* name to store the file as if successful */
     NULL
   };
 
-  curl_global_init(CURL_GLOBAL_DEFAULT);
+  CURLcode res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
 
   curl = curl_easy_init();
   if(curl) {
@@ -108,5 +109,5 @@ int main(void)
 
   curl_global_cleanup();
 
-  return 0;
+  return (int)res;
 }