Yes. It is usually required that you fly all legs of a single ticket. Even if you skip the last leg, the airline might penalise you later. At the very least, you should contact the airline before the flight and tell them that for unforeseen reasons you need to skip one leg; in this case, they might not cancel the remainder.
Of course, in every particular case it depends on the fine print of your ticket. As Burhan Khalid points out, this probably just refers you to the policy of the carrier, for example:
The General Terms and Conditions of Carriage of [airline] apply. They are to be found on [airline's website] and can be provided at all [airline] ticket counters.
In the case of Iberia, I cannot find the relevant section in their Conditions of Carriage, so your friend might actually have a case against them (but more likely I am missing something).
As an example, another airline has
In as much a Ticket was booked that requires the observance of a predetermined chronological order of the
use of the individual Flight Coupons, and the Passenger deviates from this chronological order, the Airline will
charge the price that would have applied at the time of booking the actual route taken.
In other words, if you don't fly the route on your ticket, the airline can charge you for the route you did actually fly.