Fix error output when creating directories

[mjcarroll]

Found when debugging some of the Windows CI failures in fuel_tools here: gazebosim/gz-fuel-tools#392

Instead of getting the output routed to gzerr, instead the macro gets expanded incorrectly yielding only:

7: [ RUN      ] CmdLine.ModelDownloadUnversioned
7: C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-fuel-tools\src\gz_src_TEST.cc(195): error: Value of: this->stdErrBuffer.str().empty()
7:   Actual: false
7: Expected: true
7: �[31m[Err] [C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-common\src\Filesystem.cc:469] �[m�[31m[Err] [C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-common\src\Filesystem.cc:469] �[m�[31m[Err] [C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-common\src\Filesystem.cc:469] �[m�[31m[Err] [C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-common\src\Filesystem.cc:469] �[m�[31m[Err] [C:\J\workspace\gz_fuel_tools-pr-win\ws\gz-common\src\Filesystem.cc:469] �[m