This is against the rules and I would not risk letting them know. When you arrive internationally you'll have to take your luggage through customs and it is your choice to check it back in for the last segment of your trip. You can simply skip that and walk out with your luggage in MSP. They'll miss her for the last segment but that won't be the only reason why people miss their flight, it's taken into account with overbooking and such. Just don't make a habit of this.