I wonder if the connotative association is exactly what we are trying to capture here though, and if those other phrases also fit in at the "separate words but slightly special" end of the spectrum.
There is meaning being communicated in all of those phrases that would be obvious to most or all people who are embedded in the language and culture where they are used, and which transcends the definitions of the individual words themselves.
It seems that there are several axis here -- how explicit is meaning, how atomic, how literal, how substitutable are the individual words -- and all vary continuously.
That might all seem needlessly pedantic for the question of "should it warrant a dictionary entry", but if you are trying to extract all information encoded in a verbal exchange, they might be useful concepts.