try this instead

.github/workflows/build_cpp.yml

@@ -247,16 +247,3 @@ jobs:
       run: build/dtest --runall --no_test_timer -q
     - name: Build examples, etc
       run: cmake --build build --config Release --parallel 2
-
-  mex-wrapper:
-    runs-on: 'ubuntu-latest'
-    steps:
-    - uses: actions/checkout@v2
-    - uses: matlab-actions/run-command@v1 
-    - name: Compile mex wrappers 
-      run: |
-        cd ../matlab
-        mkdir build
-        cd build
-        cmake ..
-        cmake --build build --config Release --target install --parallel 4

.github/workflows/build_matlab.yml

@@ -0,0 +1,29 @@
+name: Matlab
+
+on:
+  push:
+    branches:
+    - master
+  pull_request:
+    branches:
+    - master
+
+defaults:
+  run:
+    shell: bash
+    working-directory: dlib/matlab
+
+jobs:
+  mex-wrapper:
+    runs-on: 'ubuntu-latest'
+    steps:
+    - uses: actions/checkout@v2
+    - name: Setup MATLAB
+      uses: matlab-actions/setup-matlab@v1
+    - name: Compile mex wrappers 
+      run: |
+        cd ../matlab
+        mkdir build
+        cd build
+        cmake ..
+        cmake --build build --config Release --target install --parallel 4