The terms of the tickets almost certainly require that each segment be flown in the order booked. Skip one and the remainder of the itinerary will be cancelled.

You will likely need to have the tickets reissued. That will mean change fees + fare difference. It's possible that the fare will drop (or it could increase), so there may be some light at the end of the tunnel.

I would push the issuing Consulate as hard as you can. All you are trying to figure out is whether they made an error or not. And, if they did, how best to fix it.