Still not enough information. Codeshares are irrelevant as are bookings. The sole question is whether the CPH-CUN and return is all on one ticket. This will be a 17-digit number in the form of xxx-xxxxxxxxxxxxxx. If you cannot find this easily, ask your travel agent. It is a simple question. To be clear, it is entirely possible to book multiple tickets into a single booking (PNR). Thus, it means little that you are on a single booking/PNR.
If this is on one ticket and you do not board your flight from MEX-CUN, the remainder of your ticket, e.g. the return to CPH will be cancelled and you will be required to purchase a new ticket to get home. Whether the cancelled ticket has any value will depend on its fare rules. While there might be some question as to whether skipping a segment on 40 will result in an immediate cancellation of UA and LH segments, in this case, you have seven weeks and it is more than likely (although nobody can predict whether it is 2 hours or 2 days or 2 weeks) that the no show for MEX-CUN is detected and your ticket is cancelled.
As you are flying CUN-ORD-FRA-CPH on the return, how are you planning to get to CUN to catch your return to CPH? Might it be possible to change your current 40 segment and what would that cost?
If on the other hand, the 40 segment is a separate ticket, then no worries. It will simply be cancelled if you no show.
Please provide the specific answer as it makes all the difference.