docs: mention potential leak in curl_slist_append

When a non-empty list is appended to, and used as the returnvalue,
the list pointer can leak in case of an allocation failure in the
curl_slist_append() call. This is correctly handled in curl code
usage but we weren't explicitly pointing it out in the API call
documentation. Fix by extending the RETURNVALUE manpage section
and example code.

Closes #3424
Reported-by: dnivras on github
Reviewed-by: Daniel Stenberg <daniel@haxx.se>