We were able to cancel the second leg of a mileage trip when we missed our connection due to weather delays and, through a series of rebookings and cancelations, we were looking at an overnight stay followed by multi-leg substitute flights to get home. AA pro-rated the miles based on distance and refunded a portion of the miles. (I had already purchased tickets on another airline to get us home. The refunded miles were less than the cost of the new tickets, but we had crying kids with us and just wanted to get them home to their beds.)