I fly 4-5 segments a week and have been for almost ten years. I have been Diamond for as long as the level has existed.
In all that time I have missed my connection three times. And Delta has held a flight for me twice.
As for your case, if you are INBOUND on a regional carrier and have a pink-tagged bag, beware you may need to wait in the jet bridge for it. I have waited for up to 15 minutes for that, and so when I am on a tight connection I always check my bag to avoid that added delay.