I have a flight booked from MSY to my final destination Montreal (YUL) via a tight connection in Chicago (ORD). I'm now thinking of wanting to spend a couple days in Chicago and there is a cheap flight back from ORD to YUL that I can book directly with United/AC a few days later.

Question: How much of a risk is there if I skip that flight to ORD-YUL - booked with mileage plus number - and fly *A quite frequently but have never skip a leg before purposely but definitely have missed flights either due to being late (Vegas late last year), poor/tight connections etc. and then rebooked a separate flight to my final destination without raising any red flags so far.

Planning to have no checked bags