They have made at least one visit to the Apostolic Palace (or maybe it was Castel Gandolfo?) for an audience with Benedict XVI. It makes sense that he would visit them while in Spain.
Isn't the Queen of Spain one of the privileged few who may wear white in a Papal audience?
Spain is a very special daughter of the Church. I have always felt that Satan works very actively against Spain for that very reason, and this is one of the causes of Spain's constant troubles.
Spain brought Christianity to our continent and to our country. I live in St. Augustine, the first city founded in the US (in 1565), where the first Mass was said on what is now US territory - by Spaniards. So we owe Spain an enormous debt.
The King and Queen have to maintain a very careful neutrality. However, this has been breeched on occasion. In 1981, during the so-called "Transition" (from Franco), some disaffected members of the Guardia Civil seized the Spanish Congress and held the legislators captive. It was the King was who came out and kept Spain calm and resolved the situation. I think the King and Queen are attempting to do the best they can to keep Spain on an even track during the Zapatero administration crisis as well. And obviously, the Pope knows and appreciates this.