The premiums generally run over 10% of the amount covered. That makes no economic sense.

I don't know about where you are based, however, in the United States travel insurance is commonly considered to be an unwise investment.

I don't think most travel insurance will cover this.

Best to call the airline and get them to specially book you a single ticket with your whole itinerary, if such itineraries are not available "off the shelf" at online travel sites.

In my experience of policies, I would draw a distinction between cover for missed connections between separately booked services (which if you are on separate tickets would require you to allow generally at least 3 hours + between flights), and compensation for the consequences of delay on a much tighter missed connection with a through ticket, where the compensation would be for the delay and consequences rather than for any new ticket, etc.

Let me just link an article in Consumer Reports, The US' most respected consumer publication. Again, this is from an American, not European, perspective:

Overlapping coverage
Almost $2 billion in travel insurance is sold each year for several what ifs: You need to cancel a trip because of illness, the death of a relative, or bad weather; your belongings are lost or stolen; your traveling companion dies; or you need emergency medical care. Premiums depend on the age of the travelers, the type of coverage, and the trip’s cost. For a standard policy you’ll pay about 5 to 7 percent of the cost of the trip, according to the Insurance Information Institute. Tour operators, cruise-line reps, and travel agents sell two-thirds of the travel policies, and they collect commission on them.

But coverage may be unnecessary if you already have protection through homeowners, auto, life, or health insurance. Credit-card benefits and consumer-protection laws also may help. Bob Hunter, director of insurance at the Consumer Federation of America, says travel insurance is often not worth the price. “Don’t buy insurance that covers small, manageable losses or only a slice of risk,” he says.

For example, losing some of your belongings won’t break you financially, so keep a close eye on your valuables and be ready to accept losing less-valuable stuff. Still losing sleep? Narrow in on what you’re worried about, and see if your insurance or credit cards cover you. Then be flexible. “If you’re worried about dying in a plane crash,” Hunter says, “you should get term life insurance rather than flight insurance, because you might die in a car crash.”

If you’ll be traveling overseas, your health insurance might not provide coverage should you need to see a doctor or be evacuated to a hospital, the insurance institute says. Medicare generally doesn’t cover health-care expenses outside the U.S., although some Medigap policies do. So you might want to consider a medical travel-insurance policy.