Just a note re OP's question.

I booked in the past two CO connecting flights separately, so I received two separate PNRs. Combining them online doesn't do anything in CO's system. I had to call CO to get these two reservations cross-referenced so that in case my first flight was delayed the GAs of my second flight would be aware of my new arrival time and reason for delay. Since I didn't arrive late I don't know for sure how well this x-referencing actually works though.