No, you can not cancel only the first leg of the journey.
The 2nd / onward journey ticket has the ref no. of the 1st leg journey ticket, therefore the whole ticket gets canceled.
Anyway it won't be an e-ticket (no automatic cancelation), so you are required to visit a PRS counter to cancel the ticket, if it remains waitlist and you don't wish to travel.
The...
more... only good thing is - even if all the outward journey tickets are confirmed, and the first leg remains WL, you will get full refund.