You have been misinformed about needing to book IB reward flights separately and now you have made a mess of things...

The number of Avios you must pay is based on the distance of each individual flight, but you can (and should) book them all on the same ticket.

"Linking" tickets isn't a thing. You now have two separate tickets. You will only be able to check your bags through if you find a really sympathetic agent. You also aren't protected in case of substantial delays causing you to miss your flight onwards from MAD. You are even more likely to miss your connecting flight since you probably will be required to collect checked luggage at MAD and rush upstairs to check it back in again.

Assuming there is still award availability, I would call IB+ and pay the change fee to re-issue the tickets properly.