Using the SSH Plugin (https://wiki.jenkins-ci.org/display/JENKINS/SSH+plugin), running a remote script over ssh won't fail the build.
According to this thread, it seems like it could be normal that this doesn't fail the build since it's a pre-build task.
But for sure, it should at least be made clearer in the docs that failing remote command is not going to fail the jenkins build?
Better would be having an option to fail or not the build.
Thanks for the great tools, everybody.