Your luggage is missing AND you've also missed your connecting flight because of the delay. Explain both problems and ask what happens next.
The staff member asks, "Did you pack any valuable items in that bag?" — you didn't expect this question. Answer naturally and continue the conversation.
The staff member can only offer a hotel voucher, not a full refund. Decide how to respond — accept, negotiate, or ask for something else.
You arrive at your hotel and there's no record of your booking, but you have a confirmation email. Explain the situation and ask them to check again.