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Despite the modeling power for problems under uncertainty, robust optimization (RO) and adaptive RO (ARO) can exhibit too conservative solutions in terms of objective value degradation compared with the nominal case. One of the main reasons behind this conservatism is that, in many practical applications, uncertain constraints are directly designed as constraint-wise without taking into account couplings over multiple constraints. In this paper, we define a coupled uncertainty set as the intersection between a constraint-wise uncertainty set and a coupling set. We study the benefit of coupling in alleviating conservatism in RO and ARO. We provide theoretical tight and computable upper and lower bounds on the objective value improvement of RO and ARO problems under coupled uncertainty over constraint-wise uncertainty. In addition, we relate the power of adaptability over static solutions with the coupling of uncertainty set. Computational results demonstrate the benefit of coupling in applications. Funding: I. Wang was supported by the NSF CAREER Award [ECCS 2239771] and Wallace Memorial Honorific Fellowship from Princeton University. B. Stellato was supported by the NSF CAREER Award [ECCS 2239771].