Generally Southwest will hold the flight for last connection of the night scenarios, but there are other factors such as landing curfew restrictions at some airports, and pilot/crew timeouts and maximum work hours.

Last year I experienced a PIT-MDW-LAS 'direct/thru' flight wasn't even held for the inbound PLANE. A different plane pushed back for MDW-LAS right as the inbound was pulling up This was because the inbound plane would have put them 2-3 minutes over pilot/crew curfew. 60 "thru" passengers were told to deplane, went to find their flight, and were very confused to be told they just missed it.