You should ignore the fact that your Emirates flight is visible on delta.com. Any travel agency can add any other airline's flight to a Delta reservation, even if there isn't a ticket for it. A Reservations agent could even delete that Emirates flight out of your Delta reservation just for noticing it. You definitely should purchase travel insurance. Delta and KLM wouldn't normally offer any waivers or favors due to an IROP on Emirates. Having your flights on the same reservation is irrelevant since any travel agent can manually add these flights; it's the ticket that really matters. Since your travel is on two separate tickets (because Delta & Emirates have no ticketing or baggage agreement), you would most likely be out of luck if Emirates delayed your travel.