Of late I've noticed advances not being available as through tickets to my actual destination. Where previously they'd have been sold as advances valid on "[relevant train company] & connections", now you get offered a split on sites like Trainsplit or a ridiculously-priced walk-up through ticket on most TOC websites.
As it happens I usually prefer to split the ticket anyway because of the railway's latest anti-passenger wheeze - rigorous enforcement of the "booked train(s) only" restriction on advance tickets even on local stopping trains used to connect to the main intercity leg of the journey. I don't think the rules have changed but enforcement habits have and you can no longer be certain you'll be allowed to deviate from your itinerary without hassle. Consequently I'd rather book it as separate tickets, with an advance for the intercity leg of the journey but flexible tickets for the local connections. Or, for the final leg of the journey, I often wait and buy the ticket on the day (enabling me to get a cheap, short-notice advance single on Northern once I know which train I want to get and am confident it's running).
For any local trains that I'm using to connect onto an intercity train for which I have bought an advance ticket, however, I always make sure I buy the flexible ticket for the local train at the same time as the advance for the intercity train and that I have an itinerary for the through journey. That way I can always take an earlier train to the station where I pick up the intercity train, but I'm also protected in the event the local trains let me down and cause me to miss my booked intercity train, as long as I don't miss the local train shown on my itinerary (which will be the last one with a valid connection onto my booked intercity train). (By "protected" I mean I'm entitled to use my ticket on the next intercity train - as long as it's the same operator - and if faced with a long wait I'm entitled under PRO to be re-routed, albeit the entitlement to be re-routed can be a lot harder to vindicate).