If you advise them you won't be flying to ARN they can and will reprice your ticket which will likely cost you massively more. They will almost certainly refuse to short check your bag as whatever explanation you give will show that you are participating in hidden city ticketing which airlines find very offensive. Either fly the itinerary as booked or go HBO. Be aware that if you put your FF number in and don't fly the last leg, and do this regularly, you stand the real risk that they will kick you out of the programme and strip you of your miles.