Technically, your bag would be removed from a plane you've not boarded on.
Now, what's important to note, is that you are bound by a contract of carriage.
this contract says that ALL legs must be flown and flown in correct order.
Airlines have the ability (legal) to rebill you for the flight you've actually flown.
for example, if you book :
LON - MCO
MCO - LON - OSLO
because it's cheaper that booking a LON-MCO return
and if you only go as far as london on the way in. The airline is allowed to rebill you for the price difference as if you had booked a LON-MCO.
Most pasengers will tell you that they don't, and only do that for "repeat offenders", but forwarned is forearmed.
Now, to close on the luggage issue.
your contract of carriage says that the airline is responsible for getting you from point A to point B.
The airline has no obligation whatsoever to get you to any connecting airport along the way
for example, you book your MCO - OSLO via LON and hope to get off in London and skip the last leg.
Now, if your MCO - London is cancelled or rerouted, the airline can rebook you on another flight, or even a partner airline
As long as the airline get you to OSLO is doesn't matter which route is flown
your MCO - London - Oslo coud become a MCO - Manchester - Oslo, or a MCO - Amsterdam - Oslo
in case of an open jaw (with the oslo flight the next day) there is still a chance that, if your flight to london is delayed, the airline offers to fly you directly to oslo the next day. and you would not be in a position to argue.
If you make in to london, then you collect your bags and be a no-show the next day for oslo, no problem, but still the airline has the right to requalify your ticket and rebill you for a return london to orlando, or they might cancel your frequent flyer card if you're loyal to that airline, or they might even put you on their own no fly list.
or you might walk away with it.
