It seems that adverse consequences are rare, but we shouldn't encourage it, nor individually develop a habit, because it could well be pursued by the airline.
I seem to recall ages ago that a major consulting firm used to book all its transatlantic travel as oneway LHR-JFK + oneway JFK-LHR-CPH and dropping the last segment. I don't know whether the airline pursued them but it would seem a likely target for the revenue management team!
If this was true then I'm sure there were consequences, given the firm's contract with the airline.