I’d assume you’d have to tell someone you weren’t taking the second leg. Otherwise, the airline is going to expect you to be on that flight and will hold up the departure trying to find you.
Nope. They will NOT hold the flight for you. Nor will they be looking for you. They don't care if you "miss" your flight. However, that being said, if you don't take ALL legs of an outbound flight, they may suspect you of taking advantage of "hidden city" routing, and cancel your return ticket. The computer does that BTW, not a human being. The human being manning the gate will see that you checked in for the flight, but are not on board. They *might* page you, but they will not hold the flight.