Hi Rick.
Short Answer: If you don't show for that leg, it cancels your entire ticket with the airline. Yeah, it sucks, and is in-away nonsensical. Check to see if they will allow you to pay the change fee, and just have an open-jaw ticket out of Munich. You'll have to pay most likely.
Long Answer:
You can check with them to see if they will let you change the flight though with the normal change rules. Rules vary per ticket, but general United rules are $150 change fee per person, plus any additional increase in fare.
The airlines will do this for many reasons - they may have a fare war in Frankfurt, and not in Munich, so Munich tickets were more expensive. Open jaw tickets (where you fly into one city, and out of another) are also generally more expensive, and the airlines see this as a way of skating around it, etc. They may have offered a special sale to boost Frankfurt as a destination, but not Munich, etc.
It's pretty clearly spelled out in United's Contract of Carriage. Here are the rules that apply:
TICKETS - GENERAL UA RULE: 0100
B) FLIGHT COUPONS WILL BE HONORED ONLY IN THE ORDER IN WHICH THEY ARE ISSUED, AND ONLY IF ALL UNUSED FLIGHT COUPONS AND THE PASSENGER COUPONS
ARE PRESENTED TOGETHER.
CANCELLATION OF RESERVATIONS UA RULE: 0135
B) FAILURE TO OCCUPY SPACE. IF THE PASSENGER FAILS TO OCCUPY SPACE WHICH HAS BEEN RESERVED FOR HIM/HER ON A UA FLIGHT, AND UA FAILS TO RECEIVE NOTICE OF THE CANCELLATION OF SUCH RESERVATION PRIOR TO THE
DEPARTURE OF SUCH FLIGHT; OR IF ANY CARRIER CANCELS THE RESERVATION OF ANY PASSENGER IN ACCORDANCE WITH THIS RULE, UA WILL CANCEL ALL RESERVATIONS HELD BY SUCH PASSENGER ON THE FLIGHTS OF UA FOR CONTINUING
OR RETURN SPACE, PROVIDED UA ORIGINALLY RESERVED THAT SPACE.
The Contract of Carriage is a document the Department of Transportation requires the airlines to file, outlining the rules (aka the contract) agreed to when purchasing the ticket.