Should I include 'future work' in a paper, when I don't intend to do that future work?
It depends how you phrase it.  Do not write This will be shown in a subsequent paper.  Do write This and this still needs to be done.

I think it is very informative to inform the audience of the next steps that need to be taken in this research.  For example, shows you are aware of shortcomings of work done so far, and it can be useful to refer to in funding applications.  However, there can be many reasons why next steps are not actually carried out.  It might be your personal interest, but more often than not, project-specific funding runs out, PhD students or postdocs finish and move to new institutes, etcetera.

This is particularly true for PhD theses.  The final chapter may be full of future work, which, in many cases, is never carried out.