PR Summary

Ensure the native PInvoke call has SetLastError in the LibraryImport attribuute. We use the last error to determine the correct fully qualified error id.

PR Context

PR Checklist

• PR has a meaningful title
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• Summarized changes
• Make sure all .h, .cpp, .cs, .ps1 and .psm1 files have the correct copyright header
• This PR is ready to merge and is not Work in Progress.
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• Breaking changes
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  • Experimental feature(s) needed
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• User-facing changes
  • Not Applicable
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  • Documentation needed
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• Testing - New and feature
  • N/A or can only be tested interactively
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  • Make sure you've added a new test if existing tests do not effectively test the code changed
• Tooling
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    • Impact on PowerShell Editor Services which is used in the PowerShell extension for VSCode
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