^ for the idea to book your CP as a 'thru' route. I do the same--book at least one passenger in my group, whether Companion, or award ticket traveller, or someone who won't ever earn enough for a free trip, as a thru route.
As you mentioned OP, IRROPS is the biggest fear of a custom connection (for awards or other reasons). Some FTers are warriors and they are up for the challenge of potentially sleeping in the airport.
-If a gate agent really wants to see where the missing passengers are, they can use the PC to see if they were booked on any southwest flights that day, but I don't believe that is widely practiced, so if you have two conf #s you are 'on your own'.
-If they annouce a weather advisory you won't receive a hotel for a misconnect. But if they didn't know you were connecting to a certain destination, they might not even annouce a weather advisory if it affects just your final city.
-I've had gate agents announcing our names and ready to delete my boarding pass (but thankfully still made the flight) when our approved booked-as-connecting flight came basically on time, deplaned from towards the front, not nearly the furthest back rows, with a 25 min scheduled connection.
This isn't asked in your ? but here is a possible disadvantage of hidden city ticketing where you find a lower price las-mdw-phl than you can book las-mdw... if there is a weather issue, they may fly over mdw and continue to phl, connect in another city, or put you on a nonstop las-phl. You can ask to be rerouted but they have very little official responsibility.