fixup fail if test data missing

tests/test_scripts_pythondistdeps.py

@@ -106,6 +106,8 @@ def check_and_install_test_data():
                         # If this is the first package we're downloading,
                         # display what's happening
                         if not downloaded_anything:
+                            sys.exit("Test data missing")
+
                             print("=====================")
                             print("Downloading test data")
                             print("=====================\n")