Thanks @IInspectable!
This comment solved what I wanted to know.

This Microsoft implementation of how to receive strings allocated by the OS is the answer I am looking for.

In addition, the knowledge that I don't have to call FormatMessageW myself to display error messages was a big bonus.
(I probably should have noticed that the stderror was displayed in double place at the eprintln!("{:?}", err_msg); location and the Err(er) location in the main function.)