SetLastError=true missing on some extern declarations

There are quite a lot of extern declarations for Win32 API in the winforms repo that don't use SetLastError=true even though the docs indicate the API sets an error retrievable with GetLastError. (I attached an approximate list of some).

Of course in many, possibly all of those cases the code never calls `Marshal.GetLastWin32Error()` nor throws `Win32Exception` so it doesn't matter. I am not sure whether to interpret [our guidance](https://docs.microsoft.com/en-us/dotnet/standard/native-interop/best-practices#dllimport-attribute-settings)  to mean "apply SetLastError=true whenever the API is documented to set last error" or "apply SetLastError=true whenever the API sets last error and you also intend to retrieve it". The latter saves the infrastructure calling GetLastError() for you unnecessarily, but that is presumably very fast - and avoids the possibility of reading some previous API's error because you hadn't updated the extern declaration.

@AaronRobinsonMSFT @JeremyKuhne ?

[list.txt](https://github.com/dotnet/winforms/files/4543243/list.txt)