This is known as the 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.
Generally speaking, 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.
