I think you have to pass through the barriers at St Pancras to reach the underground. I presume you would have to explain your plans to an inspector at the barrier.
No. There's no need to explain your plans to anyone.
On arrival at St Pancras, you need to use your ticket to exit platforms 1 - 4, the East Midlands Trains platforms. The ticket will be returned to you because the journey has not been completed. Destination
U1* London is different from a
London Terminals ticket, which may well be retained by those barriers.
U1* London also includes one single Underground journey from the Underground station at your arrival London Terminal to any other Underground station in Zone 1. Compared with a
London Terminals ticket, you have paid extra for this inclusive ticket.
You then need to use your ticket again at the entry barriers at Kings Cross St Pancras Underground station, and finally at the barriers to exit from Pimlico, where it may well be retained.