I'll contact Amex to see if they can refund my money, but maybe i'll contact NZ first by e-mail. When I first contacted NZ in Spain they didn't know anything about this issue, they asked me to send them my reservation by e-mail, and then wait for a response from the "NZ head office", as they said.

What I mean is, Spanair is a member of *A, and it's allowed to sell tickets of airlines members of *A, so, if I paid for the ticket, NZ should be the one to ask Spanair for the money, but instead they create a problem to be solved by the passenger...
I think we are very unprotected by any law or any alliance, they only want to sell you tickets, they don't care about any problems....