If you skip the first flight, you face have the remaining flights cancelled on your itin. It's generally okay to skip the last segment if you don't make a habit of it. You could try booking a multi-city route of EWR-DEL-EWR-ORD which may price out somewhat cheaper and you can skip the last segment. There is some slight risk should they re-route you due to IRROPs as they have to route you through EWR on the return.