UA could conceivably say you are trying to utilize throwaway ticketing to exploit "hidden city" fares, and then do nasty things like demand the full fare walk-up price for your return ticket, cancel your MP miles, etc. ... but in practice, they won't do anything.

I've had this happen for completely innocent reasons in the past and have just called UA to explain I couldn't make the flight. They have always said, "We can't refund you for that segment b/c we'd have to reprice the itinerary, charge you a change fee, and full fare," but they don't actually care that you miss that last leg.