ethically? I wouldn't worry. Airlines are out to make a buck and to take full advantage of fares. You are free to do the same. For the one person who skips the last segment, there are 100 who pay the higher price... including seniors, those on limited income and other disadvantaged people.

contractually? Maybe a slight concern. If you repeatedly skip then they might close your FF account and you lose your miles. Simple way around that is to travel without status on those flights. They might also bill you the one way fare for the segment and charge your credit card for a higher price. (are they likely to do that? nope)

criminal liability? not even an issue. doesn't come into it.