Lack of SetLastError() calls caused tests to compare stale errors,
instead of the effects of the tested (immediately previously called)
functions.

Add SetLastError calls, and fix a broken test (copy check from A to W
tests).
Signed-off-by: Vladimir Panteleev <git@vladimir.panteleev.md>
Signed-off-by: Alexandre Julliard <julliard@winehq.org>