When you add a post-build action to Set build completion status in TFS/Team Services within a project, it's unclear that this setting also requires that you add a Team Project Collection under Jenkins->Manage Jenkins->Configure System.  

When the Team Project is missing, the build completion status fails to display in the Pull Request since Jenkins can't connect to TFS/Team Services.  The only indication as to what went wrong is an error message written to the Jenkins job log to indicate the problem, but this isn't obvious...especially when the job still succeeds.  Here's the error message in the logs:

ERROR: There is no team project collection configured for the URL '[https://|https://visualstudiocat.visualstudio.com/]'...Please go to Jenkins > Manage Jenkins > Configure System and then add a Team Project Collection with a Collection URL of 'https://..'.

Instead of only showing the error in the logs, it would be helpful to display an error message right away in the job configuration itself so that when this post build action is configured, if the above setting is missing there is a red error message.  For example, with the Maven plugin, if you attempt to configure a maven build without setting a maven version to use in Jenkins configuration settings, it shows an error within the job's configuration with a link to fix the issue in the settings.  We should do something similar to this.