[Fix] `install.sh`: check `mkdir` return codes

If directory creation fails (e.g., permissions), the script would continue and fail with confusing errors later.
Fail early with a clear error message instead.

Bugs introduced in https://github.com/nvm-sh/nvm/commit/68bf93514bdf5d2852ce74819350bed99eb472a6, https://github.com/nvm-sh/nvm/commit/6cee20a0717298658dd222efbc94616d96d5224c, and https://github.com/nvm-sh/nvm/commit/703babe60a9fa09d55fbc67107a07beba09ef090.