two flights cost less than the single Montreal-Chicago direct flight. Is it O.K. to book the cheaper Montreal-Chicago-Milwaukee itinerary and be a no-show for the second flight?

Absolutely. Purchasing something doesn’t mean you’re obligated to consume it in totality. You can use whatever portion of the purchase you choose. If you buy a loaf of bread, you don’t have to eat every slice. //

It’s blatantly obvious these flight prices are not based on the amount of fuel, maintenance and labor required for the respective journeys. The airlines are manipulating the prices based on demand. No one is losing money here — you are paying the full price required for a trip to Milwaukee and simply electing to suspend your travels midway there. If you really want to be a good person, inform an airline representative in Chicago that you will not be boarding the flight to Milwaukee; this way, someone trying to get to Wisconsin on standby can be pushed onto the flight.