I was a bit unsure last year, too - but all went fine.

We had booked VRN-LGW-LHR-HKG and the same bay back to verona. However, my plans changed and i had to return to VIE from LHR on the way back. Besides the not earning tierpoints and avios for the not flown last leg, there were no problems at all.

I told the check-in guy to not check me in on the LGW-VRN leg since i am not going to use it, which he gladly followed. He even blocked the seat next to us on an almost fully booked flight only because i asked if the flight is going to be full or if we could hope for a free seat next to us ^

So if you don't do it regularly, i don't think there will happen much...