have no idea on the refund portion -, but I’d expect very little to none. They will probably base it on historical fare of FRA-SFO, which may actually be higher than MAD-SFO, or they may break down the segment value (the same way they do for PQP accrual) and refund whatever portion that is. Could be in the single digits.

as for ‘linking’ the tickets - there would certainly be value in doing it…if it were possible. It’s not. They can ‘link’ it in the form of a note they can put in the PNR, but that’s all manual stuff which really only has an effect if an agent bothers to read it, and has zero affect from an automation standpoint. If FRA-SFO is late, for example, UA has no obligation to accommodate you on a later flight to LAS - note in the PNR or not. Less of an issue without change fees these days, though still a potential problem as making a change due to late arrival, for example, will still leave the cost on you for any increase in fare on your new segment. If you wanted to go to LAS and have full protection - the way to do that would have been to buy a ticket to LAS in the first place.

this might be a good place to note that it might be worth checking to see if it’s worth canceling the itineraries you have and seeing if booking MAD-LAS on a single PNR might be worth it. That would get you full protection. Perhaps there are other options that work with your budget/schedule like MAD-EWR-LAS.