On A->B->C, a delay in A->B may result in no delay at all if you can still get to B->C and it is on time. But it can result in a much worse delay if you miss your connection to B->C and the next available flight to C is many hours later or the next day.

Note that, in airline jargon, "direct" does not mean "non-stop". On some airlines, you may have a "direct" flight where you have to change planes and potentially miss your connection.