[ci] fail R macOS CI jobs earlier when installations fail (#5129)
[ci] fail R macOS CI jobs earlier when installations fail (#5129)

* [ci] fail CI jobs earlier when installations fail

* more reliable link for R.pkg
henry0312/LightGBM,henry0312/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM,microsoft/LightGBM,microsoft/LightGBM,microsoft/LightGBM,henry0312/LightGBM