What you might also consider (if you'll ever fly the same route as your last leg) is to have the ticket issued with the last leg in the far future.
This fall I've had many such tickets with "stopovers" in HEL of up to 6 weeks, saving tons of money. The last leg doesn't even have to be the same destination as the origin - I had CPH-HEL-NRT-HEL-BUD ("only" 1500€ cheaper than at HEL-NRT return)
But to your original question - I've thrown away last legs without a blink. What is the worst that can happen? "Sorry, missed the flight/plans changed, ticket was unchangeable!"
If you have checked luggage, be sure to short check them. I'm not sure if c/i agents can/will do that everywhere, so you're much safer in this respect travelling with hand luggage only.
If you really worry about the mileage account being closed (minimal chance), credit to somewhere else, not AY+