While the DL connection is a lousy one for reasons I will explain below, the WN-DL ticket transfer ought to be a non-starter.
At a minimum, you are protected for a misconnect on DL. If you are delivered late by DL, it will be for DL to rebook you. If you no show at ATL on a separate ticket, your DL ticket may be cancelled and, depending on the fare rules, you may be required to purchase a new ticket at walk up prices. The $99 WN ticket becomes relatively meaningless and very few travel insurance policies cover trabsfers betwen tickets.
The DL connection while certainly easily doable in the inbound is on time becomes a mess if you misconnect. While DL will rebook you, you face either a 24-hour wait or being routed through other gateways in the US or Europe, e.g. JFK or CDG. During high season, last minute seats tend to be the worst on the aircraft and you face a 9-hour flight in a bad place. DL operates 6 nonstops a day on the STL-ATL hop and unless you have something really pressing in STL, I would take the earlier STL-ATL flight.