The
clarifications to EU261 published last year specifically state that train journeys are not covered, even if purchased as part of your airfare (page 21 section 6).
That said, I do believe KL would rebook you if needed, but compensation does not apply.
Imo you'll be fine if you keep an eye on any possible train issues the day before and the day of departure. If you cannot book an earlier train try contacting KL directly. They've been able to issue tickets like these for me that were not showing online.
Members of the Thalys loyalty programme travelling on semi-flex tickets may show up for an earlier or later train and travel without seat assignment when speaking to the train manager before boarding. Semi-flex allows the train directly before or directly after your booking, whereas Flex allows you to choose any train on the same day. It's been 20 months since I last did the KL/Thalys thing, so I'm not sure how the train tickets are issued these days. Thalys are changing their fare structure for departures from December 10th and onwards, so that may also change things.