What I knew beforehand is that Renfe has an added layer of online security. You need to register your card with Verified by Visa or Mastercard Secure Card and choose a password. Renfe is not the only one who requires this. On my previous trips, I registered my card and successfully purchased lots of train tickets online.
What I learned this year after a lot of frustation and subsequent conversations with Cap1 and Mastercard (my Cap1 is MC) is that MC Secure Card is an option decided by each company offering MC. Cap1 decided to terminate. Thus you can no longer register for this added security layer and so you can't use the card with vendors that require it. As Harold said, it gets "stuck" on that Renfe step. Renfe gets a message that the card is rejected and Cap1 never sees a transaction. Paypal takes a small fee and uses a decent exchange rate.
BTW the discounts for the TD vary - yes, it's 40/25% on AVE trains, but can be more on MD trains. Just plunk in TD passengers on the Renfe site and it will give you the best price. Then drill down on that specific train and click the dialog box for the price and you'll see all the options - so you can compare. On my last trip, the differences were pretty small and the only trains I purchased in advance were one that had a good chance of being sold out (to Valencia) and the one that I needed to catch my flight home.
You should buy your tickets to/from Toledo a few days in advance - they do sell out. If you need a specific train that runs infrequently (say, to/from Granada), you may as well buy that in advance and have it in hand - unless the promo fares are gone and you'll save a lot with the TD. BTW Atocha is an awful place to buy tickets in my experience. Try to get the rest of your tickets online while you're in Madrid or at the Toledo train station. Buy the TD at the airport and take the Cercanias into town - the Renfe office is next to the station. They'll also sell you the Cercanias ticket. You can probably pick up your Toledo tickets then too - if you know which trains you want. Where are you staying in Madrid?