Rules correctly stated. Do not show up for any segment and the remainder of the reservation is cancelled forthwith. As to the why, I suggest googling for "hidden-city ticket" rather than me trying to explain it.
That said, it does seem that the system should not have allowed the checkin at MSP. The PNR ought to have shown DLH as the origin for the itinerary and immediately flagged as out-of-sequence. The only thing I can think of is that because DLH-MSP is not NW main-line but a commuter codeshare, perhaps the NW system did not have the reservation for that segment ?
Worth complaining to NW just for the MSP screwup. Might even get a voucher out of them, but no $$$ I suspect.