In some international cases, it creates tax/airport fee problems. Sometimes transit passengers pay less. Whether that's an airline or passenger problem probably depends.
edit: I actually can't find any examples of "airport taxes" being levied on arriving passengers that are different than transit passengers. The differentiation only seems to be between departing & transit passengers)
Meanwhile, other countries let you get a tax refund on unused flights and airlines probably hate that paperwork
Yes, but that's not costing them money. It might be lost revenue, but that's different. There's no guarantee that I would buy the ticket at all if the full direct flight price was the only option.