All airlines are like this, the policy is not unique to Delta.

As for a reason why, it comes down the oddity of how fares are priced. For example, let's say an airline sees a need for two routes and begins marketing them as: LAX-ORD and LAX-MSN. LAX-ORD is a direct flight while LAX-MSN has a layover in ORD. The airline knows lots of people want to fly LAX-ORD so they set a high price for the ticket (say $500). But they still want to fill the jet heading to MSN, so the sell LAX-MSN at $400.

Well, a few decades ago, the travel agents got wise of this scam and would sell passengers flying LAX-ORD the LAX-MSN ticket (because it was cheaper). In response, the airlines made the "skip a segment, cancel the itinerary" rule.