Return segments are not always cancelled if you use the BUMP program on the outbound portion of a RT flight. My wife and I successfully flew outbound MEM-BWI on NW instead of MEM-ATL-BWI on DL after getting paper tix from the DL counter.

For our return, NW checked in full for their single daily BWI-MEM nonstop and were had to go back on DL. We checked in at the DL counter, expecting that our reservation with them had probably been cancelled. No problems, though, and our reservation was still in the system... original seat assignments, etc.