It's in JAR-FCL and they're right. A commercial licence, along with the required theory, is a stand-alone licence and should all be taken in the same country i.e. theory and flying in the UK (in your case).
You may be able to get an exemption or transfer of the theory provided both the UK and Spanish CAAs agree.
An Instrument Rating is another rating and can be taken in any JAA country.
Cheers
Whirls