There certainly would be EU 261 comp if the OP's MXP-JFK is significantly delayed (assuming he's not proactively re-routed).

Travel insurance would certainly cover the cost of an overnight at JFK, but will probably cost more than one night in a hotel.

The main thing I'd be worried about - IF there is bad weather in NY and flights get cancelled it may be very difficult to get rebooked on alternate flights to CUN as they'll likely be full, if OP is flying around the holidays in late December.