Check if we get any error while building the egg file

Util/BuildTools/BuildPythonAPI.bat

@@ -102,6 +102,7 @@ rem
 if %BUILD_FOR_PYTHON3%==true (
     echo Building Python API for Python 3.
     call py -3 setup.py bdist_egg
+    if %errorlevel% neq 0 goto error_build_egg
 )
 
 goto success
@@ -133,6 +134,11 @@ rem ============================================================================
     echo %FILE_N%              - Make sure it is available on your Windows "py".
     goto bad_exit
 
+:error_build_egg
+    echo.
+    echo %FILE_N% An error occurred while building the egg file.
+    goto bad_exit
+
 :good_exit
     endlocal
     exit /b 0