[CI] Stop Windows pipeline upon a failing pytest #10003
Merged
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Closes #9618
Currently, the Windows CI pipeline continues to execute even when a pytest fails. Example: https://buildkite.com/xgboost/xgboost-ci-windows/builds/4475#018d34ec-1805-4b3a-8206-e4addbae123f/2297-23796
This is because a PowerShell script doesn't stop automatically when a child process returns a non-zero exit code. See https://stackoverflow.com/a/9949909.
Fix: Explicitly check the exit code from the pytest suites and terminate the script as needed. Example: https://buildkite.com/xgboost/xgboost-ci-windows/builds/4477#018d3862-44d6-4219-8f40-7db901f8653a/4179-25710