Aside from the connection issue, there is no requirement that US interline your bag to IB since your contract with US is only to get you and your bag to MAD, not BCN via interline connection. Chances are that if the agent knows how to do it and isn't too busy, he/she will do it but you have no right to expect or demand it.

Also, if your bag goes missing in MAD both carriers can deny responsibility. US got it to MAD as required and IB can claim (perhaps rightfully) that they never received the bag. Your two separate tickets do not cover responsibility for the transfer of your bag from US to IB (or vice versa on the return) any more than your connection.

In other words, the safest course of action is to claim your bag in MAD and check it with IB. If it doesn't make it to MAD you know that US is responsible and if it doesn't make it to BCN you know that IB is responsible (and vice versa). However, assuming that IB has as good a record for lost bags as US, the odds are good that everything will go fine.

Jim