I agree that flying to Seville on the same ticket as the transatlantic flight would be simplest and safest from a schedule standpoint. However, when folks are heading to Seville and buy airline tickets to Madrid instead, it's usually because of price. On my most recent trip to Spain, flying into Seville would have cost me an extra $500 with no change in my return ticket. My solution, planned from the beginning, was to spend the first night in Madrid and pre-puchase onward transportation for the next day. But I'm retired and had plenty of time to spend my jetlagged arrival day in Madrid.
I've never needed to get a train ticket refunded, so I'm not going to try to answer that question. The official policy will be on the Renfe website, and it depends on the type of ticket you choose.
There's a complication here that no one has mentioned: It's quite common for Spanish express trains to sell out before departure time. I see that often when I look up schedules--several fast trains in a row listed as "full". Therefore, the usual advice not to buy arrival-day long-distance train tickets until you're on the ground at the destination is risky in Spain.
That potentially major issue aside: There's a train station at the Madrid airport. I had no trouble finding it in 2016 even in a zombified state. Those folks will sell you a ticket (or perhaps it's a pair of tickets) to Seville. They know how long it will take to get the train from the airport to Atocha Station. I'd ask about the transfer time, because I find Atocha a bit confusing. I'd want to have a bit of a time buffer. They will also put your luggage through a scanner, which may take a few minutes.
What you must not do is end up in the line for the staffed ticket counters at Atocha. They are disastrously understaffed or inefficient or both. I was in that line for 3 hours, and it is a chronic situation going back years. The ticket-vending machines worked with my US credit card--I was just too sleep-deprived to figure out how to buy a senior ticket--and it has been quite some time since I read a complaint about credit card issues for Americans. I think some machines take currency as well, but I've never used that in a train-ticket machine. In any case, buying the onward ticket at the airport train station (if you don't want to buy one in advance) avoids any potential ticketing issue at Atocha.