Add an option (`ipython_warning_is_error`) to not stop on error.

The behavior pre-6.5 was to keep on going even if unexpected exceptions
or warnings were shown, on 7.x the default is to abort the build.

For compat reasons (and convenience), you can now set back the behavior
to the original one to just log to stderr and move on.

IPython/sphinxext/ipython_directive.py

@@ -84,6 +84,10 b' ipython_rgxin:'
     The compiled regular expression to denote the start of IPython input
     lines. The default is ``re.compile('In \[(\d+)\]:\s?(.*)\s*')``. You
     shouldn't need to change this.
+ipython_warning_is_error: [default to True]
+    Fail the build if something unexpected happen, for example if a block raise
+    an exception but does not have the `:okexcept:` flag. The exact behavior of
+    what is considered strict, may change between the sphinx directive version.
 ipython_rgxout:
     The compiled regular expression to denote the start of IPython output
     lines. The default is ``re.compile('Out\[(\d+)\]:\s?(.*)\s*')``. You
@@ -559,7 +563,8 b' class EmbeddedSphinxShell(object):'
             sys.stdout.write(s)
             sys.stdout.write(processed_output)
             sys.stdout.write('<<<' + ('-' * 73) + '\n\n')
-            raise RuntimeError('Non Expected exception in `{}` line {}'.format(filename, lineno))
+            if self.warning_is_error:
+                raise RuntimeError('Non Expected exception in `{}` line {}'.format(filename, lineno))
 
         # output any warning raised during execution to stdout
         # unless :okwarning: has been specified.
@@ -574,7 +579,8 b' class EmbeddedSphinxShell(object):'
                                          w.filename, w.lineno, w.line)
                 sys.stdout.write(s)
                 sys.stdout.write('<<<' + ('-' * 73) + '\n')
-                raise RuntimeError('Non Expected warning in `{}` line {}'.format(filename, lineno))
+                if self.shell.warning_is_error:
+                    raise RuntimeError('Non Expected warning in `{}` line {}'.format(filename, lineno))
 
         self.cout.truncate(0)
         return (ret, input_lines, processed_output,
@@ -899,6 +905,7 b' class IPythonDirective(Directive):'
         # get regex and prompt stuff
         rgxin      = config.ipython_rgxin
         rgxout     = config.ipython_rgxout
+        warning_is_error= config.ipython_warning_is_error
         promptin   = config.ipython_promptin
         promptout  = config.ipython_promptout
         mplbackend = config.ipython_mplbackend
@@ -906,12 +913,12 b' class IPythonDirective(Directive):'
         hold_count = config.ipython_holdcount
 
         return (savefig_dir, source_dir, rgxin, rgxout,
-                promptin, promptout, mplbackend, exec_lines, hold_count)
+                promptin, promptout, mplbackend, exec_lines, hold_count, warning_is_error)
 
     def setup(self):
         # Get configuration values.
         (savefig_dir, source_dir, rgxin, rgxout, promptin, promptout,
-         mplbackend, exec_lines, hold_count) = self.get_config_options()
+         mplbackend, exec_lines, hold_count, warning_is_error) = self.get_config_options()
 
         try:
             os.makedirs(savefig_dir)
@@ -951,6 +958,7 b' class IPythonDirective(Directive):'
         self.shell.savefig_dir = savefig_dir
         self.shell.source_dir = source_dir
         self.shell.hold_count = hold_count
+        self.shell.warning_is_error = warning_is_error
 
         # setup bookmark for saving figures directory
         self.shell.process_input_line('bookmark ipy_savedir %s'%savefig_dir,
@@ -1028,6 +1036,7 b' def setup(app):'
 
     app.add_directive('ipython', IPythonDirective)
     app.add_config_value('ipython_savefig_dir', 'savefig', 'env')
+    app.add_config_value('ipython_warning_is_error', True, 'env')
     app.add_config_value('ipython_rgxin',
                          re.compile('In \[(\d+)\]:\s?(.*)\s*'), 'env')
     app.add_config_value('ipython_rgxout',