Clean all ASAN reported memory problems (curl related)

[j-rivero]

🦟 Bug fix

Summary

The current ASAN build reports quite a few problems related to memory not being freed. I think that I've hunted mos of them if not all.

Although our Jenkins ASAN builds are not repotring failures from these kind of problems (need to solve gazebosim/gz-cmake#240) they are easy visible from the logs, see the failures for this branch before this PR in: https://build.osrfoundation.org/job/gz_fuel_tools-ci_asan-gz-fuel-tools9-jammy-amd64/31/consoleFull (grep by "LeakSanitizer: detected memory leaks").

If the PR is good and there are no more problems, this testing build should be clean: https://build.osrfoundation.org/job/_test_gz_fuel_tools-ci_asan-gz-fuel-tools9-jammy-amd64/2/consoleFull

Checklist

• Signed all commits for DCO
• Added tests
• Updated documentation (as needed)
• Updated migration guide (as needed)
• Consider updating Python bindings (if the library has them)
• codecheck passed (See contributing)
• All tests passed (See test coverage)
• While waiting for a review on your PR, please help review another open pull request to support the maintainers

Note to maintainers: Remember to use Squash-Merge and edit the commit message to match the pull request summary while retaining Signed-off-by messages.