For travel insurance coverage it should make no difference if you self-transfer or you are on a single ticket - as long as you leave reasonable time.for the "transfer".

If you travel insurance only covers when you travel on a single ticket, I would look for another travel insurance as it is worth close to nothing, because the airline will sort it out in case of a disruption and you don't need the travrel insurance. It is with self-transfer/separate tickets you really need the travel insurance.