[CI] Stop Windows pipeline upon a failing pytest (#10003)

tests/buildkite/test-win64-gpu.ps1

@@ -32,6 +32,8 @@ Foreach-Object {
 
 Write-Host "--- Run Python tests"
 python -X faulthandler -m pytest -v -s -rxXs --fulltrace tests/python
+if ($LASTEXITCODE -ne 0) { throw "Last command failed" }
 Write-Host "--- Run Python tests with GPU"
 python -X faulthandler -m pytest -v -s -rxXs --fulltrace -m "(not slow) and (not mgpu)"`
   tests/python-gpu
+if ($LASTEXITCODE -ne 0) { throw "Last command failed" }

tests/python-gpu/test_gpu_prediction.py

@@ -152,6 +152,7 @@ class TestGPUPredict:
 
     @pytest.mark.parametrize("device", ["cpu", "cuda"])
     @pytest.mark.skipif(**tm.no_cupy())
+    @pytest.mark.skipif(**tm.no_cudf())
     def test_inplace_predict_device_type(self, device: str) -> None:
         """Test inplace predict with different device and data types.
 

tests/python-gpu/test_gpu_with_sklearn.py

@@ -249,7 +249,7 @@ def test_custom_objective(
         clf.fit(X, y)
 
 
-@pytest.mark.skipif(**tm.no_pandas())
+@pytest.mark.skipif(**tm.no_cudf())
 def test_ranking_qid_df():
     import cudf