It's worth noting here that the LHR-MAD route is special. It's officially a BA flight operated by Iberia (which Iberia also codeshares with). The reverse isn't true.

Although when booking this flight the site incorrectly says 'Seat selection available at check-in' if you try and choose your seat, you can go into MMB straight after booking and choose your seat.

Other flights operated by Iberia and booked through BA may have issues, but that particular flight should be fine.