cmake: fix stderr initialization in unity builds

[vszakats]

Before this patch, in certain build configurations the curl tool may
not have displayed anything (debug, macOS), or crashed at startup
(debug, Windows).

Follow-up to 3f8fc25
Necessary after 2f17a9b

Closes #11929

[vszakats]

This patch initially aimed to fix this CI error, which I attributed to a failing curl tool:
could not get curl version! at C:/projects/curl/tests/runtests.pl line 2439.

But it turns out this is unrelated, and also happens without unity:
https://ci.appveyor.com/project/curlorg/curl/builds/48113479
(these are test CI jobs to trigger the issue by building and trying to run tests.)

[dfandrich]

"could not get curl version!" basically means the curl executable could not be run.

[vszakats]

The binaries are working when downloaded locally, and there are no 3rd party DLLs required. This makes me think that the problem may be as simple as curl.exe not finding libcurl.dll. But I failed to come up with a DLL copy command that made it work, probably due to trivial mistake I'm making in appveyor.yml.