For most fares the return flights will be cancelled, yes. It depends on the detailed fare rules, but they generally include such a rule.

This is because direct/non-stop services generally attract higher fares than connecting services. Probably, JFKHELJFK is more expensive than JFKTLLJFK via HEL. Most people are prepared to pay higher fares if they don't have to change planes and airlines make a business out of it ... but they, also obviously, don't allow you to take advantage of it by cutting your trip short.

Here in Europe, there are a number of recent court decisions, some in favour of the customer, some in favour of the airlines. The legal situation is currently not clear, but certainly the airlines monitor their customers anxiously. So you shouldn't count on their negligence ...