This is known as the hidden-city strategythe hidden-city strategy. If you don't use the last leg ORD-MKE you're actually using this ploy. But...in your case - you're not doing it to save money, you're doing it because it's more convenient for you. If you're not using any points or anything like that I just don't see why not doing it.
The question should be: is it ok to entertain this approach? yes and no. Yes, because you're not breaking any criminal law here (unless you're caught and you lie about it - so don't do that!). On the flip side, there's a contract between you and the airline that you must respect.