The biggest risk is on the return. If you miss the hop from Catania to Rome, you'll be buying a replacement one-way Rome-NYC ticket. In that direction, I'd give very, very serious consideration to traveling to Rome the day before the flight back to the US. In fact, I don't think I do it any other way.
On the outbound trip, the financial risk is not as great, because the Rome-Palermo ticket shouldn't be terribly expensive. And if you book two separate Rome-Palermo and Catania-Rome tickets (rather than a single, multi-city ticket for those routes), you won't have to worry that if you miss the Rome-Palermo flight because of a transatlantic delay, they'll cancel the Catania-Rome flight out from under you.