On Linux you can do the same and you can actually send back to the shell a custom error code, like the following:
#!/bin/bash
matlab -nodisplay -nojvm -nosplash -nodesktop -r \
"try, run('/foo/bar/my_script.m'), catch, exit(1), end, exit(0);"
echo "matlab exit code: $?"
it prints matlab exit code: 1
if the script throws an exception, matlab exit code: 0
otherwise.