There has recently been a question about a traveler who missed his connecting flight within the EU and was forced to take a different flight at a later time. In that scenario, would the EU's flight delay compensation scheme kick in as well? Or does it only apply to point-to-point flights?
According to EU's Air Passenger Rights FAQ:
Do I have any rights if I am not allowed to board my connecting flight because I arrived late at the gates due to a delay with the first flight?
YES - if the flights are part of a single reservation**, the carrier has to offer you the option between the reimbursement of your ticket and a return flight to the airport of departure at the earliest opportunity or re-routing to your final destination at the earliest opportunity or re-routing at a later date at your convenience under comparable transport conditions, subject to the availability of seats. **In case you are re-routed and you reach your final destination with a delay of 3 hours or more you are entitled to compensation.
So the answer is yes, they do apply as normal.