tidy-up: delete, comment or scope C macros reported unused

To reduce the number `-Wunused-macro` compiler warnings:
- delete unused macros.
- comment out unused macro that are part of a set.
- move macros into the scope they are used.

This may be useful to enable by default, but there are tricky cases that
I didn't manage to fix and paused the effort. E.g. internal features
checks in `openssl.c`. There is more, once those are fixed.

Closes #16279

tests/server/socksd.c

@@ -86,12 +86,6 @@
 #ifdef USE_WINSOCK
 #undef  EINTR
 #define EINTR    4 /* errno.h value */
-#undef  EAGAIN
-#define EAGAIN  11 /* errno.h value */
-#undef  ENOMEM
-#define ENOMEM  12 /* errno.h value */
-#undef  EINVAL
-#define EINVAL  22 /* errno.h value */
 #endif
 
 #define DEFAULT_PORT 8905