Originally Posted by EnvoyBoy
Because maybe someone is trying to get on that flight.

Haven't we all been there?
Plus, depending on the GA, vain attempts to page or find the missing pax who they've confirmed arrived at ORD on the first leg.
I applaud the OP for being concerned for the GA and other pax by asking how best to do this instead of whether or not to do it.
OK, but I think the OP will find that UA doesn't make it easy to be nice. He will either have to wait around for the GA for his flight or wait in some horrendous line (while a UA employee tries to make him use a Chicken) and then endure a lecture from another agent on how "illegal" it is to not take the last leg and how it will be on his permanent record, and blah, blah, blah.
Just walk out of the airport. Why endure the hassle.