They do interline with KL as well (you can see it in your EF list). But as you said, interlining is not enough to check bags through on separate tickets. AF may want to do it but that's not sure, especially now that UX is half in bed with Skyteam and half in bed with BA/IB. So you have to plan as if they will refuse, i.e. have a long "connection" in MAD to go landside. Schedule at least 3 hrs for the stop.