Raise error if BCP command fails to dump data into a file
Powershell is your friend here. When working with cmd commands in Powershell you can use the $LASTEXITCODE variable to read the result of the command you executed.

The code below passes a BCP command into the Invoke-Expression cmdlet and captures it's output. 

$OutputPath = "C:\temp\Numbers-20151230.dat"

try
{
    $Command = "bcp dbo.Numbers out $OutputPath -T -n -S Localhost\JamesA_Test -d UtilityDB"
    $Output = Invoke-Expression -command $Command

    if ($LASTEXITCODE)
    { 
        throw $Output
    }
}
catch
{
    Write-Host "BCP command failed: $Output"   
}


I'm not sure how you want to handle the error so I just used Write-Host to display the error for this example. You could log the error to the event log, a file, a table in SQL, etc.