I tried dbutils.notebook.exit(<value>) where value is 0 and 1. I also tried sys.exit(<value>). 
None of this produces a difference in the output of the databricks CLI command

databricks jobs run-now --json '{"job_id": <JOB_ID>, "job_parameters": {"will_exit": "yes"}}'

Furthermore, if I use sys.exit(<value>) the API doesn't return a result in JSON, but fails:

⣷ Error: failed to reach TERMINATED or SKIPPED, got INTERNAL_ERROR: Task IntegrationTest failed with message: Workload failed, see run output for details. This caused all downstream tasks to get skipped

It's a pity...