[MAINT] Add flag to full doc build to finish build when first warning…

… is encountered (#3494)

* Add flag to finish full build

* [full doc] test fail

* [full doc] test should pass

* [full doc] Full build

doc/Makefile

@@ -162,7 +162,7 @@ pdf: latex
 check:
 	rm -rf _build/doctrees
 	rm -rf $(BUILDDIR)/html/_images
-	BUILD_DEV_HTML=1 $(SPHINXBUILD) -W -T -n -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
+	BUILD_DEV_HTML=1 $(SPHINXBUILD) -W --keep-going -T -n -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
 
 install:
 	rm -rf _build/doctrees _build/nilearn.github.io