There are two things that will happen if you miss a connecting flight.
One is that your baggage will be unloaded from the flight when the close the gate and not when it lands. You will not be able to pick it up at the carousel and you will have to tell them you missed the flight when you go pick it up. It might end up at security or lost luggage, depending on what the airport policy is.
Second is that all you following flights will be cancelled. This includes any return tickets you have for this journey. The assumption is that since you did not make it, you do not need to return.