I would also book the tickets separately, but I'm a tight git!
I do wonder whether in such a case Gold cardholders would be treated any differently if the connection was missed. I ask that because the situation did arise when flying BA, and they rebooked me onto a later flight free of charge - even though it was weather related. Of course all airlines are different, but it would be interesting to know.
It would also be interesting to know what time of year this booking is planned for?