The thread local storage is used to hold some global state that
is dynamically allocated and should be freed upon exit. On
Windows, we clean up the C run-time right after execution of
registered shutdown callbacks and before cleaning up the TLS.

When we clean up the CRT, we also cause it to analyze for memory
leaks. As we did not free the TLS yet this will lead to false
positives.

Fix the issue by first freeing the TLS and cleaning up the CRT
only afterwards.