When I price out MSN-EWR, the MSN-MSP-ATL-EWR option (and indeed, any double connect option) is showing as a broken fare. You will see multiple fare codings in each direction when you look at the fare rules (this is true even if they all share the same fare class) . I doubt the double connect is valid with OP's fare.

DL tends to be pretty stingy with the double-connect fare offerings. They tend to not be allowed to larger airports with good coverage (like EWR) even if you are flying from a smaller/mid-size city. And, of course, MSN is no slouch itself. You have to look at some seriously small stations (with little or no MSP/DTW coverage) before you find double-connect options for MSN.