CI: improve Azure Windows jobs, make sure they fail on build error

[skip actions] [skip cirrus] [skip circle]

azure-steps-windows.yml

@@ -28,27 +28,30 @@ steps:
     mkdir  C:/opt/openblas/openblas_dll
     mkdir  C:/opt/32/lib/pkgconfig
     mkdir  C:/opt/64/lib/pkgconfig
-    # TBD: support 32 bit testing
     $target=$(python -c "import tools.openblas_support as obs; plat=obs.get_plat(); ilp64=obs.get_ilp64(); target=f'openblas_{plat}.zip'; obs.download_openblas(target, plat, ilp64);print(target)")
     unzip -o -d c:/opt/ $target
     echo "##vso[task.setvariable variable=PKG_CONFIG_PATH]c:/opt/64/lib/pkgconfig"
     copy C:/opt/64/bin/*.dll C:/opt/openblas/openblas_dll
   displayName: 'Download / Install OpenBLAS'
 
 - powershell: |
-    $ErrorActionPreference = "Stop"
+    # Note: ensure the `pip install .` command remains the last one here, to
+    # avoid "green on failure" issues
     python -c "from tools import openblas_support; openblas_support.make_init('numpy')"
     If ( Test-Path env:NPY_USE_BLAS_ILP64 ) {
         python -m pip install . -Csetup-args="--vsenv" -Csetup-args="-Duse-ilp64=true" -Csetup-args="-Dblas-symbol-suffix=64_"
     } else {
         python -m pip install . -Csetup-args="--vsenv"
     }
+  displayName: 'Build NumPy'
+
+- powershell: |
     # copy from c:/opt/openblas/openblas_dll to numpy/.libs to ensure it can
     # get loaded when numpy is imported (no RPATH on Windows)
     $target = $(python -c "import sysconfig; print(sysconfig.get_path('platlib'))")
     mkdir $target/numpy/.libs
     copy C:/opt/openblas/openblas_dll/*.dll $target/numpy/.libs
-  displayName: 'Build NumPy'
+  displayName: 'Copy OpenBLAS DLL to site-packages'
 
 - script: |
     python -m pip install threadpoolctl