Add a bunch of sanity checks

[Megamouse]

Some of these changes are meant to fix a couple of warnings while reading the code. I also noticed that there were almost no sanity checks in the code, which may lead to lots of segfaults in user code.

• Win: Do not call CloseHandle in hid_open_path if device_handle is null
• Win: return errors if malloc calls fail
• Add missing NULL checks to many parameters

[Megamouse]

I think I made all the necessary changes.

[Youw]

NOTE: in #698 I've added some of those

[Megamouse]

If you tell me what to keep and what to remove I can adjust this soon

[Youw]

I guess I had too many comments/questions to this PR. Instead I prepared #727 based on this, with all my comments applied.