Of Course you can just no-show for your last sector.
I did that a couple of times when flying PEK-LHRx-AUH on the old OneWorld AAward rules. This routing always meant an overnight at LHR so having bag checked to LHR instead of AUH was never disputed.
The benefit used to be, AAwards only charged the PEK-AUH Mileage..sadly that loophole was changed 1 Sept 2008