People that get caught trying to buck the system sometimes get embarressed. I guess it depends on how honorable a person you are.
I have to say, you must be the only person on FT that thinks throwing away the last segment on an itinerary is dishonorable. I admire you.
[Edited to add:] OP, Just tell an agent that something came up and you can't take the last segment, so that it's a cancellation and not a no-show. Done it dozens of times; never a problem.