CI: Code checks ensure return status is handled
Follow up from discussion here. https://github.com/pandas-dev/pandas/pull/30370#discussion_r361213525

Seems like we are not return the return code of all these code checks - unless I am missing something?

Expected this to fail on master until https://github.com/pandas-dev/pandas/pull/30455 is merged

cc. @WillAyd @datapythonista 