I now have a data point on this: I had an Iberia flight + rail ticket to some random place in Spain (because it was cheaper than just flying to MAD), and I just stayed in Madrid, and still managed to fly home again. I did pick up the rail tickets from the Renfe office at Madrid T4, and used them for my free rail transfer to Atocha station in central Madrid, but skipped the onward connection, and didn't have any problems with check-in or in using my boarding pass for my flight out of Madrid again the following day. The only caveat is that I'd already checked in for my return flight before I "missed" my train, so I'd already downloaded my Iberia boarding pass, even if Renfe did try to tell Iberia that I'd skipped my train journey... But seems pretty safe!