I can understand that this could be a big shock to the uninitiated, especially if it's not made pretty clear in the booking process.
About 10 years ago I was on holiday in Italy. My return flight was PSA-FCO-LHR on AZ (before I knew about FT!) and I was genuinely considering heading down to Rome for a bit and picking up the flight from there, like you might on a UK train. We didn't in the end, but we would have had an almighty shock as there wasn't anything in the booking process to say you have to take all flights. I think there is greater awareness now, but still, I reckon it catches people out.