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Machine learning (ML) algorithms are remarkably good at approximating complex non-linear relationships. Most ML training processes, however, are designed to deliver ML tools with good average performance, but do not offer any guarantees about their worst-case estimation error. For safety-critical systems such as power systems, this places a major barrier for their adoption. So far, approaches could determine the worst-case violations of only trained ML algorithms. To the best of our knowledge, this is the first paper to introduce a neural network training procedure designed to achieve both a good average performance and minimum worst-case violations. Using the Optimal Power Flow (OPF) problem as a guiding application, our approach (i) introduces a framework that reduces the worst-case generation constraint violations during training, incorporating them as a differentiable optimization layer; and (ii) presents a neural network sequential learning architecture to significantly accelerate it. We demonstrate the proposed architecture on four different test systems ranging from 39 buses to 162 buses, for both AC-OPF and DC-OPF applications.