strerror: Preserve Windows error code in some functions

This is a follow-up to af021625 which removed (SET_)ERRNO macros. That
commit was an earlier draft that I committed by mistake, which was then
remedied by a5834e52 and e909de65, and now this commit. With this commit
there is now no difference between the current code and the changes that
were approved in the final draft.

Thanks-to: Max Dymond, Marcel Raad, Daniel Stenberg, Gisle Vanem
Ref: https://github.com/curl/curl/pull/1589