It’s unfortunate you weren’t doing the journey yesterday, when the 20:06 from Westbury to Cheltenham was a guaranteed connection off the 18:24 from Portsmouth Harbour, as the train to form the Cheltenham was split off the rear of the Portsmouth - Cardiff train due to a train failure earlier in the day. But then yesterday of course, the 16:30 from Brighton ran through to Southampton as booked!
The Cheltenham Spa train via Melksham is booked to leave Westbury at 20:06 and the
wanna-connect from Portsmouth arrives there at 20:10. Classic!
Yesterday, that delayed 20:06 didn't set off until 20:23 - 17 minutes late - and it was still two minutes late when it reach Cheltenham Spa. I'm sure there's a very good reason it couldn't be timetabled to leave Westbury at 20:16.