Thanks all. In looking at insurance plans and the Covered Reasons, like @AspiringCruisePlanner said, it seems they mostly only cover you if there is a carrier delay due to weather or mechanical issue. I did find one with $1,000 per person missed connection coverage. That would almost cover the cruise (but not the excursions or add ons like the beverage package I bought!). I will check out Allianz just in case.
I have already booked my flight and didn't use Air2Sea. I will keep that in mind, however I also read that Royal Caribbean doesn't let you join the cruise at a later port due to health protocols on the embarkation day. So, pray for me!