If you continue your approach when the wind is outside the published limits laid down by the Portuguese authorities you will be reported to your appropriate aviation authority and risk not being allowed to go there again. I don't have the document to hand, but I seem to remember that if a company trangresses more than a few times (3 ?) then that company will be prohibited from further operations into Madeira. Let's face it, it's not the sort of place to treat lightly at the best of times.