do it all the time. usually when a new trip pops up and does not agree with my return flights. its never on purpose, but im not going to fly back to MSY through MSP or IAH, just to hop right back on to one of the connecting cities. i usually call to explain that something came up. they're always fine with it. sometimes i get the miles and segments and others i dont. I know CO's official rule, is that you do not, but i do. not sure about NW's rules.