Update:

When we arrived in Madrid we asked the help desk if they knew what we could do to make sure our return ticket was valid. The lady took a look and said that we would only have to pay ~1,600 EUR each to convert our round trip tickets to a one way ticket. Considering the original ticket was just $225 round trip I thanked for the time and booked a return ticket using United points.

Lesson learned. Sure the ticket isn't cancelled but it effectively is. Wouldn't mind finding a way to push this up the courts in Spain to see what would happen but I don't have any Spanish resources to use here.