Azure CI should fail on test failures
As per title I imagine this is something we would like?

This [CI build](https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=2029&view=ms.vss-test-web.test-result-details) seems to have status green on Azure despite the fact tests seem to be failing on MacOS-35, or am I missing something?

Issue found on [this PR](https://github.com/pandas-dev/pandas/pull/23361).

This seems to be related Microsoft/azure-pipelines-tasks#1268.