Can't stop execution of "ADD PERIOD"
You need dynamic SQL for DDL like this.

IF NOT EXISTS(SELECT 1 FROM sys.periods WHERE object_id = OBJECT_ID('sysjobhistory'))
    DECLARE @sql NVARCHAR(MAX) = N''
    SET @sql += N'
    ALTER TABLE dbo.sysjobhistory
    ADD PERIOD FOR SYSTEM_TIME (StartTime, EndTime);'

    EXEC sys.sp_executesql @sql