cmake does not check for unixodbc-dev

Description

Make build_install_deps.sh work so that if a package installation fails, the problem is immediately (and clearly) logged and nothing else is done.

All use of this should also check the return value of the script.

Original Description

if unixodbc-dev lib is not installed, cmake succeeds, but make fails:

[  5%] Building CXX object maxutils/maxsql/src/CMakeFiles/maxsql.dir/odbc.cc.o

/home/turenko/MaxScale/maxutils/maxsql/src/odbc.cc:25:10: fatal error: sql.h: No such file or directory

   25 | #include <sql.h>

      |          ^~~~~~~

compilation terminated.

should a check be added to make config?