Booking a journey as a single connecting ticket is often cheaper than buying the legs separately, and it behaves very differently when something goes wrong. Both effects come from how the contract is constructed.
Through fares are priced for the market, not the miles
Airlines file fares between origin and destination pairs, and a connecting itinerary is priced against that pair rather than as the sum of its segments.
Competition on the through market can be stronger than on either individual leg, particularly where several carriers offer connections between the same cities.
The result is that a long journey routed through a hub can cost less than a short one that happens to be a monopoly segment.
Connecting traffic fills seats that would travel empty
A flight into a hub carries local passengers plus connecting ones, and the connecting seats would often go unsold without the network behind them.
Selling them at a lower through fare therefore adds revenue on a departure whose costs are already committed.
This is the same reasoning that allows a hub carrier to serve thin routes that could not be sustained by local demand alone.
One ticket creates one obligation
With a single ticket the carrier has contracted to deliver the passenger to the final destination, so a missed connection caused by a delay becomes its responsibility to resolve.
Rebooking on a later flight, and assistance while waiting, follow from that obligation and from passenger rights rules where they apply.
Baggage is also checked through, which removes the need to clear and recheck it and often removes the need to enter the transit country at all.
Separate tickets are separate contracts
Two independently booked flights have no relationship. If the first is late, the second airline has sold a seat on a flight that departed as scheduled.
The passenger bears the loss, and buying a replacement at short notice is usually the most expensive way to obtain a seat.
Some carriers offer arrangements that link separate bookings, but the protection they provide is defined by their own terms rather than by interline rules.
When separate tickets still make sense
Combining a low-cost carrier with a network airline can produce a lower total where no through fare exists between the two.
Building a long buffer between the legs, ideally with an overnight stop, converts the risk into something manageable rather than eliminating it.
The saving should be weighed against the cost of a replacement ticket, since that is the exposure being accepted in exchange.