In v8, the default for that property is unchecked. You can copy, paste, and rebuild this step in a project to set the property to true/checked for all steps:
Code:
<step action='Run Script'>
<Language>VBScript</Language>
<Script><![CDATA[' process all steps in project
For i = 0 To vbldStepSubroutine
' iterate over all steps in the collection
For Each s In Project.Steps(i)
' set to build failure steps on failure
s.Property("buildfailsteps") = True
Next
Next]]></Script>
<name>Set failure option</name>
</step>