If you get one ticket for the whole journey then it's the provider's responsibility to get you to your destination, even if you miss a connection due to a delay.
If you have bought multiple tickets covering the journey, there are a few European agreements that may be relevant in the event of a missed connection:
- Connections between certain high speed services allow you to 'Hop on the next available train' (HOTNAT) if both services are members of the Railteam alliance
- Connections between most services on international journeys are protected by the newish 'Agreement on Journey Continuation' (AJC)
It's definitely confusing and it's far from perfect, but the situation is improving.