Hi ijkh and if it hasn't been said already, welcome to FlyerTalk.
Please take note of the post "Welcome to Milesbuzz, read me first" thread at the top of the forum.
It appears you have some pretty general travel questions here, and none of which relate to miles or points. I can however, answer one question here for you.
If you buy a separate ticket from BCN to MAD and you miss your flight because of a late arrival, you are pretty much on your own. One of the advantages of a single itinerary is that you are protected in the event of a delay. With 2 separate tickets, you lose this protection. You might get lucky though and the onward carrier
may put you on the next available flight, but there is no guarantee.
I'm going to go ahead and move this to TravelBuzz where I'm sure you'll get some great answers from the experts
Regards,
Flipside