No problem being allowed to skip the last leg. You might not get FF miles, maybe you will, depends on the airline. You surely won't get credit for the missed last leg, even though you paid for it.

You will still have to take the originating flight, which will involve some type of re-positioning.

Don't cancel in advance. They will readjust the fare if you do. There's always the odd chance that the last leg will be delayed/changed. If that happens, you will be entitled to a free change.