If you travel on separate tickets, you do not have a connection, you have two independent trips. If you do not present yourself for boarding in time for your LAS-DEN flight, that entire ticket (including the return from KUL or wherever that ticket ends) auto-cancels and you will either not be travelling at all, or will have to buy a new return ticket on the spot. You are not protected and UA has no obligation whatsoever to accommodate you. Now, there are a number of reasons why you may not get to LAS on time, including AA or WN cancelling your flight, or being diverted, or whatever other events take place. It is usually a minor risk if you have built in sufficient time and have alternatives in place (a later flight, driving, etc). But you need to be aware of the risk nonetheless.