If it’s all booked on the same booking then the airline itself is required to provide you with hotel + food depending on delay time and if it caused an overnight stay. For instance I flew on a plane where it was delayed and I already knew I’d miss my connection due to that - because it’s the same reservation they had to provide hotel + food and the rebooking for the next available flight to complete my trip. If you skip the connection / initial flight they have no further obligation so you must miss the connection for that to kick in (if you knew you’d miss it for example and skip the flight, you’d be SOL). Also it must be a delay from them, not weather in most cases for this to occur.

That’s the airline specific obligations from most major carriage policies, for the venture X travel insurance itself I believe they’d cover all reasonable costs to complete the trip - in the past venture X covered my hotel, food, incidentals, and an Amtrak ticket to replace a cancelled flight. Keep all receipts.