There's a big difference between no official protection and no practical protection. Just like airlines tend to try to help you if you miss a flight because you get a flat tire on the way to the airport, they might try to help you if your connecting flight is delayed -- especially on a partner airline.

But they have no obligation to help you, so you want to minimize the chance of a problem (by getting a long layover and/or not checking bags) and, if you have a problem, asking nicely.