I have no explanation why Jenkins jobs do not react to PowerShell error as described in the docs: https://www.jenkins.io/blog/2017/07/26/powershell-pipeline/

Either try -ErrorAction Stop after each command (Everything you wanted to know about exceptions)

Or set $ErrorActionPreference = 'Stop' at the beginning

Example

try {
    powershell """
        throw new Exception("ERROR: This is a test Exception.") -ErrorAction Stop
    """
}