Technically you are not transferring a licence, you are being granted an EASA licence on the back of your UK licence + the additional exams & flight test. EASA like to refer to as a "conversion" but you should retain your UK licence. There is no legal reason why you shouldn't hold a UK & EASA PPL(A) concurrently, as well as an FAA & any other (non-EASA) ICAO licence.
It might be that referring to it as a transfer is what is confusing the Spanish authorities.