If you had actually intended to do the return and showed up late for the flight, they would have cancelled you and given you no refund. If you don't show up, it's the same thing. In either scenario, the airline doesn't give a refund and that's it. You could call in after the flight leaves but it would be unnecessary. It could even be that the airline suggested this to the agency because of a tariff regulation that otherwise require high one way fares.