This is not at all unusual, since BA is competing on the GIG-MAD route with other carriers. They may well go direct, so BA competes on price rather than convenience. There must be thousands of examples of this, and indeed a whole BA Board subculture on the intricate workings of the European mainland based equivalents.

Now in this case you have to complete the outbound trip to MAD, and return from there too: if you don't the return sector would be cancelled completely, as is standard across much of the airline industry.