I recently changed planes at Madrid from an intra-Europe flight arriving at T4 to a US-bound flight out of T4S. There was no additional security screening, just a departing passport stamp.

Although they tried to steer me to the lounge in T4S where the US-bound flights depart from, the IB lounge in the main T4 was much nicer, quieter, and smokeless, compared to the crowded and smoky one in T4S. Also the shopping in T4 was more varied and interesting.

I'd stay in T4 until 30 minutes before boarding, then make my way to T4S on the short, efficient train ride.