Return value of SQLCMD

I am not sure, but did you tried SQLCMD -m switch? sqlcmd Utility

-m error_level - Controls which error messages are sent to stdout. Messages that have a severity level greater than or equal to this level are sent. When this value is set to -1, all messages including informational messages, are sent. Spaces are not allowed between the -m and -1. For example, -m-1 is valid, and -m -1 is not.

You need to use the -V option

Note: That's a capital -V, not a lowercase -v.

Example:

> SQLCMD.EXE -S whatever -E -V16 -Q "USE does_not_exist"
  Msg 911, Level 16, State 1, ...
  Could not locate entry ...
> echo %ERRORLEVEL%
  16

Update: Alternatively, you can use the -b option, which has different semantics to the execution (the whole batch stops on the first error). YMMV.

Example:

> SQLCMD.EXE -S whatever -E -b -Q "USE does_not_exist"
  Msg 911, Level 16, State 1, ...
  Could not locate entry ...
> echo %ERRORLEVEL%
  1

You can also combine -b and -V.