Return an error with the multi-callback

[MrAlias]

If we are going to return errors with the individual callback, should we also look at returning an error with the multi-callback (via RegisterCallback)? This would allow us to unify the logic under the hood to have a single collection of callbacks that need executing, because individual callbacks can be converted into multi-callbacks. (follow up is fine)

Originally posted by @MadVikingGod in #3507 (review)