So what would be the deal when your (last) connecting flight takes off without you?

Although I was first pulled off the flight MCI-MDW for fear of not making the connection - then was later told ahead to go. As I was wandering around an empty MDW I found a delayed ATA flight that got me into LGA at 3am instead of ISP resulting in a huge limo cost.

Next day my Corp travel agent called WN and was told only the PFC fees of $7 were coming back. I didn't press it being a business expense.