Now I remember that I was in that situation a few years ago... I had a connection and the first flight was delayed 3 days. So I took a train to the connection point.

I had a very awkward conversation with a United rep who eventually sent me an e-mail with the information of the flight they tried to put me on, even though it was no longer in my record since I never took it, so I could show that the delay would have been 3 days. Otherwise, the insurance was not going to cover it.

In the future, I would be taking screenshots of every rebooking, just in case I needed to prove it...