Since version 5.3 (
http://www.kinook.com/Forum/showthread.php?threadid=375) this is provided via the 'Parse build output...' checkbox. From the Make VS.NET action help topic:
Parse build output for failed projects: Sometimes, devenv.com will return a success (0) exitcode even if one or more projects failed to build. If this box is checked, the action also parses the build output to verify that 0 projects failed to build, and if an error condition is found, the step will also be marked as failed.
But that is the right approach to do it yourself (the Make VS.NET action's check is a little more generic but should work in this case too).