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/shared-connection-cache.c

@@ -51,6 +51,10 @@ int main(void)
   CURLSH *share;
   int i;
 
+  CURLcode res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res)
+    return (int)res;
+
   share = curl_share_init();
   curl_share_setopt(share, CURLSHOPT_SHARE, CURL_LOCK_DATA_CONNECT);
 
@@ -63,8 +67,6 @@ int main(void)
   for(i = 0; i < 3; i++) {
     CURL *curl = curl_easy_init();
     if(curl) {
-      CURLcode res;
-
       curl_easy_setopt(curl, CURLOPT_URL, "https://curl.se/");
 
       /* use the share object */
@@ -83,5 +85,6 @@ int main(void)
   }
 
   curl_share_cleanup(share);
-  return 0;
+  curl_global_cleanup();
+  return (int)res;
 }