I have a flight booked form Cairo to Amsterdam Schiphol via KLM and then a Thalys train from Amsterdam Schiphol to Brussels. As Brussels is not my final destination anyway I want to intentionally skip the train from Amsterdam airport to Brussels Midi. I have read many reviews about skipping a flight leg can lead to cancelling your entire flight but does the train booked with the flight included in this rule? What are the risks?
Train segments are handled differently to airline segments, and the implications for skipped segments are slightly different.
Unlike air segments, the airline has no real way of knowing if you actually boarded the train, only that you picked up the tickets. So as long as you pickup your train tickets (not just your boarding passes!) at Schiphol then your will be considered to have "flown" that segment, and thus you will not face any implications from skipping it - because as far as the airline is concerned you didn't skip it. This is true even if you have subsequent segments - they will NOT be canceled in this case, as the airline will consider that you have used this segment. You'll even get frequent flyer miles for having "flown" it!
It looks like you're only going one way - but if you are returning the same route then on the return it's a different story. You will be required to check-in at your origin, which (presuming something like Brussels Midi->Amsterdam->Cairo) is in Brussels. If you turn up at Amsterdam and try and check-in they will deny you, as they will know that you skipped the Brussels Midi->Amsterdam train leg.
You can skip the train ride after the flights, but not the other way around. For example, KLM sells flight tickets starting from a train station in Belgium, where you have to check-in in Belgium already, therefore you cannot just show up in Amsterdam and try to board on the plane. It may still be possible somehow, but it's not guaranteed, hence not recommended. In your case, if you get out of the plane in the Netherlands and intentionally miss the train ride, there is nothing KLM can/would do about your situation, since your journey has already ended, there is no legs to cancel afterwards. On the other hand, if you're planning to take a plane back to Cairo as a part of the same ticket bought together, then you're taking a significant risk, because if KLM finds out that you didn't board on the train, they may cancel the remaining flights during the journey on the same ticket.