Some examples:

- Cologne – Bruxelles is served by both DB and Thalys. In principle both operators run in alternating hours and taken together you get an hourly service [1] between the two cities. Unfortunately for quite a few years now, Thalys has withdrawn its through-ticketing arrangements and so you can no longer buy through-tickets involving Thalys and a connection on the German side. If you buy the tickets separately, you've got no guarantees that your ticket will remain valid in case of a missed connection. (Thalys still participates in Railteam and HOTNAT, but that only applies to connection between high-speed long-distance trains, so if your connection involves some other kind of train, too bad).

- It also means (apart from the fact that Thalys requires mandatory reservations) they're semi-useless for domestic journeys (beyond Cologne, Thalys trains usually continue through to Dortmund), because in the case of delays or cancellations your ticket won't be valid on alternative DB services. If you're lucky they'll take you on a goodwill basis, otherwise you'd have to either wait for the next Thalys (only every two hours and with some larger gaps!) or pay for a DB ticket out of your own pocket and claim the money back afterwards.

- The services between Paris and Germany via the LGV Est are operated in cooperation between SNCF and DB, so luckily both operators will sell tickets for all services on that line, no matter whether they're TGV or ICE services. It's still not perfect however, because (at least online?) DB won't sell tickets involving a connection in France, while SNCF won't sell tickets involving a connection in Germany. So if you don't live in one of the larger cities directly served by the through trains (I live near that line in Germany, but technically I first still need to take a local train first for three stops or so) and need to go somewhere in France other than Strasbourg or Paris, you still can't get a through ticket.

- Through tickets to Italy are equally problematic. Maybe things are slightly better at a booking office, but at least online playing around with international-bahn.de it looks like the above, i.e. DB/ÖBB won't sell tickets involving connections in Italy and vice versa for FS.

- international-bahn.de is happy to sell you combined tickets, but its FAQs also say that those don't necessarily count as a through ticket and in the case of missed connections you might have to depend on the goodwill of the operators involved.

- For a few years now it seems that there is at least the so called Agreement on Journey Continuation (see https://www.seat61.com/european-train-travel.htm#AJC), which is at least a step in the right direction and is better than nothing, but that agreement is

a) still somewhat obscure, and

b) effectively still a somewhat more formalised goodwill arrangement, with the exact details and regulations not (!) being made public and remaining a secret among the participating railways

c) also doesn't cover all operators, e.g. Thalys doesn't participate, and neither do some of the large open access operators that exist in e.g. Italy, Austria, or the Czech Republic

And like I mentioned previously, in Germany technically the law asks all railways to work together in creating fares for through-ticketing (§12 AEG), but especially as far as long distance trains are concerned this obligation seems to have been mostly forgotten.

[1] Albeit with some gaps, especially on Thalys's side. I don't know whether those gaps are a recent, Covid-induced phenomenon, or have been present for a while longer.

Thank you for the detailed comment! I can say I've had good experiences on connections between Germany and Denmark, Germany and Switzerland, and Germany and the Netherlands, including regarding missed connections, but it sounds like the situation isn't so great when it comes to other countries/operators.