Update - I called Iberia (their team in Spain as well as the U.S. call center). No real luck. Short of canceling both tickets and rebooking them (which, with Avios, means taking the risk that the inventory won't come back and also losing a special promotion offer that is now expired), there is nothing they can or will do. I explained my mistake and offered to pay a change fee for them to combine the reservations or even build a new one off of one of the existing.

They asked why this was important to me, and I explained the issue of checking a bag and having it transferred. They said not to worry, that the agent would take care of it at check in.

Reading the board here, I'm not holding my breath. . .

Thankfully, I realize I misstated my situation in my original post. The problem is actually for our flights back to the U.S. We'll be flying Portugal to Madrid and then Madrid back to the U.S and have two hours in between flights. We at least won't have to clear customs on arrival to Madrid if the gate agent in Portugal won't check the bag through. We'll just go to bag check and then have to re-check in. If the originating flight is on time, we're likely okay, but if a delay happens we certainly may have an issue. Hoping that flying in business may be one reason for the gate agent to be more helpful, but who knows?

I don't usually make rookie mistakes like this one, so, painful lesson learned. This wasn't about saving money or any thing of the sort. I just didn't realize I could book the flights together (which I think was because I knew that Iberia prices each leg separately and just thought they had to also be booked separately).

Any other advice or helpful solutions will be welcomed!

Chris