You're welcome! I've been living here for more years than I care to remember, and have kids...
Can't add anything about Paris, only been there the once and that was as a kid myself... One advantage in its favour: Eurostar. I've done a fair amount of flying with small kids, and while it's not that bad I'd rather be on a train! Of course, if you're in Manchester (say) you'll be flying anyway.
I was in Rome a couple of years ago, as a city it's a lot more interesting than Madrid (although for a long weekend there's more than enough in Madrid to be seeing), but it was a lot less pushchair friendly, and the public transport was a lot worse too. Nice food though, and running next to the Colliseum would be pretty cool.
Free accomodation is not to be sniffed at, of course
Madrid is very child friendly (the city, the marathon not so much ) - the Spanish in general love kids. Easy enough to get around, too. There's public transport to/from the airport so no problem with child seats in taxis etc. The centre of town is all walkable, too.
It's easy enough to get into, I signed up before xmas, but there were still places available right up to the last moment. (Slight CMA comment: I'm a resident, I don't know if international entries are more limited - although I doubt it). Certainly a couple of people on this forum had signed up for it.
Bokster's comment about the bag drop is incorrect this year, there are apparently numbered lorries parked in the Plaza de Cibeles (about a 5min walk from the start line - usually). You can apparently ONLY drop off the bag they give you when you pick up your number, they won't accept backpacks or whatever. They'll put a sticker on the back of your race number, the first digit is the number of the lorry. You'll need the sticker to pick your bag back up.
And here's hoping it's not too hot, it certainly is today...