Hmm, newbie that I am, I didn't realize that nesting was illegal! Can anyone shed some light on the following:

I have a roundtrip, EWR-SFO on Continental (booked by a travel agency), and now I've had to change my plans. So after a few days in SFO, I'm flying United out of there to ORD and then to BOS. I'm not returning to EWR by plane, and I was going to just waste the return trip SFO-EWR. Is this illegal? Should I not use my OnePass frequent flyer number on one of these segments?

Thanks!