CI/TST: Making ci/run_tests.sh fail if one of the steps fail
Looks like when simplifying the running of the tests in the CI (#23924), I missed the `-e` in the bash header. And that makes the `ci/run_tests.sh` exit with status code 0, even if the calls to pytests fail.

This left the CI in green, even when tests fail for the last 3 days (sorry about that). I think nothing is broken.

This PR fixes the problem.

CC: @pandas-dev/pandas-core 