IMO, it is "doing the right thing" to let DL know you are skipping once you have flown the initial leg(s). No difference between this and cancelling a reservation at a restaurant.
800 number or GA, whichever is easier for you.
DL will not recalc your fare for walking away. Nor will they send you to Gitmo and torture you with 24x7 Muslim prayer music :-)
DL holds this threat out for those who abuse the system. Not for pax who have changes in their plans.