Before getting too hypothetical and digging into the precise wording of the rules, I'd point out that if you are delayed and miss your train, the absolute most likely scenario is either that staff will take your word for it, or check up on reported incidents/TRUST/whatever and confirm that you were indeed delayed. I a dispute over whether you held a valid Tube ticket before arriving or not is simply not going to happen. FGW at Paddington are generally good in my experience, and have had no issue with authorising later travel due to train/tube delays. I would advise keeping hold of any tickets if you are delayed though.
As regards walking connexions, STP/KGX and WAE/WAT both have walks as the suggested transfer in journey planners. Marylebone to Paddington does not, and the recognised route is by Tube, which requires a ticket. I think the examples in the Advance fares FAQ were chosen deliberately to include Tube travel - being either Travelcards or U12 tickets.
To revisit old territory, take a Reading (RDG) - Slade Green (SGR) Route: London Not Und ticket. This is intended to be used RDG-WAT-WAE-SGR. Mapped routes include LONDON, so surely RDG-PAD-WAE-SGR should be permitted - both RDG-PAD and WAE-SGR are on mapped routes between London and the respective stations, and PAD and WAE are both London group stations, so where's the gap?
Second (slightly silly) example: say I hold a Newbury-Reading Stns CDR and Reading-Swansea Advance. I choose to take the train from Newbury to Reading West. How much time do I have to leave to transfer between stations to ensure I'm covered in the event of delays on my first train? (I couldn't think stations grouped for ticketing purposes which don't have a recognised connexion of some sort between them).