http://bugs.winehq.org/show_bug.cgi?id=27178
--- Comment #2 from Nikolay Sivov bunglehead@gmail.com 2011-05-15 12:54:30 CDT --- This one is questionable:
--- SetLastError(NTE_FAIL); ---
but in general it leaks, yes. Even in more places than you mentioned.
And as Austin said please send a patch for that, but without SetLastError() if you won't add corresponding test.