TL;DR: Check with the carrier. Check their web page or call them. Based on their page Air Canada will most probably send the luggage to you. Consider also other option, especially flights operated by EU carriers as thy have additional regulations that protect you.
A general rule is that the carrier is liable for the luggage so it's best to go to the source: Air Canada's page about delayed luggage, where we read:
When we locate your bags
Once we've located your baggage and ensured it reaches its destination airport, it will be delivered to you via our contracted carrier in the area or FedEx.
It does not state that it will be delivered to an address outside the destination airport city but it also doesn't say the contrary and it's quite normal situation that you travel outside of your destination city. FedEx or other similar delivery services usually have uniform price across a whole country, so I doubt the airline will care if you're in Rome, Olbia or any other Italian city, as long as you stay within Italy.
Either way you can call the airline and ask them directly if they will deliver the lost luggage in case it is lost during your flight to Olbia. You don't need to explain how do you plan to get there as this is irrelevant for the carrier.
Note that the second carrier (from Rome to Olbia), be it Alitalia or some other line has no liability at all and will not deliver your luggage for sure. If the luggage came delayed to Rome you will not be able to check it in, so from their perspective you just fly without registered luggage. Note also, that you need to make sure you have enough time in Rome to pick your checked luggage and do the drop-off for the next airline.
Have you considered other options as well?
One that comes to my mind is flying with different carriers, most probably on different route. Is there any particular reason why you want to fly specifically through Rome or with Air Canada?
On Google flight search you have some options including those with just one stop in Europe. What's even more important - some flights are operated by European airline
Why is it important?
If you fly to EU with a carrier from EU there are additional rules that apply. The liability in such case is described on EU official passenger rights. What is important - when you fly from Canada those regulations apply only on EU based carrier:
EU air passenger rights apply:
- If your flight is within the EU and is operated either by an EU or a non-EU airline
- If your flight arrives in the EU from outside the EU and is operated by an EU airline
- If your flight departs from the EU to a non-EU country operated by an EU or a non-EU airline
- If you have not already received benefits (compensation, re-routing, assistance from the airline) for flight related problems for this journey under the relevant law of a non-EU country.
So it does e.g. on KLM flight, but not on the Air Canada one that you have picked. It is also important, that this is only about the airline that operates the flight, even if you bought tickets in code-sharing (it is both-ways, i.e. if you by a ticket from Air Canada but fly Lufthansa then rules apply, if it's the otherwise and your Lufthansa ticked end you up in Air Canada plane you're not eligible for those rules).
Your additional protection is then as follows:
If your checked-in luggage is lost, damaged or delayed, the airline is liable and you're entitled to compensation up to an amount of approximately EUR 1 300.
The airline liability is not specified directly but in general it is any cost incurred by the source cause. So if you have to travel from Olbia to Rome and back to pick your luggage, you can reclaim this cost. If you have to buy spare clothes, you can reclaim that as well. Of course, you have to be reasonable. You don't take business class flight nor buy latest Gucci clothing.