I really wouldn't worry about it. Four times I've done BA-IB flights and four times I've had some check-in issues, and four times out of four I've checked in at the airport and it has been just fine in the end. I'd bet my bottom dollar that BA will be able to give you both boarding passes at check-in at Heathrow - in the very unlikely event that doesn't happen you will be able to get it from Flight Connections at Madrid T4, there will be some Iberia desks airside to deal with this sort of eventuality.

Also, I would make sure to keep the boarding passes until the flights post on BAEC as a couple of times at least one flight hasn't posted within a couple of weeks - it's much easier to do a retrospective claim if you have the passes.